BlackVolTermStructure Class Reference

#include <ql/voltermstructure.hpp>

Inheritance diagram for BlackVolTermStructure:

Inheritance graph
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List of all members.

Detailed Description

Black-volatility term structure.

This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.


Public Member Functions

Black Volatility
Volatility blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) volatility
Volatility blackVol (Time maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) volatility
Real blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) variance
Real blackVariance (Time maturity, Real strike, bool extrapolate=false) const
 present (a.k.a spot) variance
Volatility blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) volatility
Volatility blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) volatility
Real blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) variance
Real blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
 future (a.k.a. forward) variance
Limits
virtual Real minStrike () const=0
 the minimum strike for which the term structure can return vols
virtual Real maxStrike () const=0
 the maximum strike for which the term structure can return vols
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 blackVarianceImpl (Time t, Real strike) const =0
 Black variance calculation.
virtual Volatility blackVolImpl (Time t, Real strike) const =0
 Black volatility calculation.


Constructor & Destructor Documentation

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.