BlackVarianceSurface Class Reference
#include <ql/termstructures/volatility/equityfx/blackvariancesurface.hpp>
Inheritance diagram for BlackVarianceSurface:

Detailed Description
Black volatility surface modelled as variance surface.This class calculates time/strike dependent Black volatilities using as input a matrix of Black volatilities observed in the market.
The calculation is performed interpolating on the variance surface. Bilinear interpolation is used as default; this can be changed by the setInterpolation() method.
- Possible enhancements:
- check time extrapolation
Public Types | |
| enum | Extrapolation { ConstantExtrapolation, InterpolatorDefaultExtrapolation } |
Public Member Functions | |
| BlackVarianceSurface (const Date &referenceDate, const Calendar &cal, const std::vector< Date > &dates, const std::vector< Real > &strikes, const Matrix &blackVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation) | |
BlackVolTermStructure interface | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
| Real | minStrike () const |
| the minimum strike for which the term structure can return vols | |
| Real | maxStrike () const |
| the maximum strike for which the term structure can return vols | |
Modifiers | |
| template<class Interpolator> | |
| void | setInterpolation (const Interpolator &i=Interpolator()) |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
| virtual Real | blackVarianceImpl (Time t, Real strike) const |
| Black variance calculation. | |