BlackAtmVolCurve Class Reference
#include <ql/experimental/blackatmvolcurve.hpp>
Inheritance diagram for BlackAtmVolCurve:

Detailed Description
Black at-the-money (no-smile) volatility curve.This abstract class defines the interface of concrete Black at-the-money (no-smile) volatility curves which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor | |
| BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| BlackAtmVolCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
Black at-the-money spot volatility | |
| Volatility | atmVol (const Period &optionTenor, bool extrapolate=false) const |
| spot at-the-money volatility | |
| Volatility | atmVol (const Date &maturity, bool extrapolate=false) const |
| spot at-the-money volatility | |
| Volatility | atmVol (Time maturity, bool extrapolate=false) const |
| spot at-the-money volatility | |
| Real | atmVariance (const Period &optionTenor, bool extrapolate=false) const |
| spot at-the-money variance | |
| Real | atmVariance (const Date &maturity, bool extrapolate=false) const |
| spot at-the-money variance | |
| Real | atmVariance (Time maturity, bool extrapolate=false) const |
| spot at-the-money variance | |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
Calculations | |
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. | |
| virtual Real | atmVarianceImpl (Time t) const =0 |
| spot at-the-money variance calculation | |
| virtual Volatility | atmVolImpl (Time t) const =0 |
| spot at-the-money volatility calculation | |
Constructor & Destructor Documentation
| BlackAtmVolCurve | ( | const Calendar & | cal = Calendar(), |
|
| BusinessDayConvention | bdc = Following, |
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| const DayCounter & | dc = DayCounter() | |||
| ) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.