BlackConstantVol Class Reference
Constant Black volatility, no time-strike dependence. More...
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
Inheritance diagram for BlackConstantVol:

Public Member Functions | |
| BlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter) | |
| BlackConstantVol (const Date &referenceDate, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
| BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) | |
| BlackConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
TermStructure interface | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
VolatilityTermStructure interface | |
| 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 | |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
| virtual Volatility | blackVolImpl (Time t, Real) const |
| Black volatility calculation. | |
Detailed Description
Constant Black volatility, no time-strike dependence.This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence).
- Examples:
-
ConvertibleBonds.cpp, DiscreteHedging.cpp, EquityOption.cpp, and Replication.cpp.