blackvariancesurfacemoneyness.hpp File Reference

Black volatility surface based on forward moneyness. More...

#include <ql/math/interpolation.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>

Classes
class	BlackVarianceSurfaceMoneyness
	Abstract Black volatility surface based on moneyness (moneyness defined in subclasses). More...
class	BlackVarianceSurfaceMoneynessSpot
class	BlackVarianceSurfaceMoneynessForward

Detailed Description

Black volatility surface based on forward moneyness.