BlackInvertedVolTermStructure Class Reference

Black volatility surface that inverts an existing surface. More...

#include <qle/termstructures/blackinvertedvoltermstructure.hpp>

Inheritance diagram for BlackInvertedVolTermStructure:

Public Member Functions
	BlackInvertedVolTermStructure (const Handle< BlackVolTermStructure > &vol)
	Constructor takes a BlackVolTermStructure and takes everything from that.
const Handle< BlackVolTermStructure > &	underlyingVol () const
	return the underlying vol surface
TermStructure interface
const Date &	referenceDate () const override
Date	maxDate () const override
Natural	settlementDays () const override
Calendar	calendar () const override
Observer interface
void	update () override
VolatilityTermStructure interface
Real	minStrike () const override
Real	maxStrike () const override

Visitability
virtual void	accept (AcyclicVisitor &) override
Real	invertedStrike (Real strike) const
virtual Real	blackVarianceImpl (Time t, Real strike) const override
virtual Volatility	blackVolImpl (Time t, Real strike) const override

Detailed Description

Black volatility surface that inverts an existing surface.

This class is used when one wants a USD/EUR volatility, at a given USD/EUR strike when only a EUR/USD volatility surface is present.

    \ingroup termstructures

Constructor & Destructor Documentation

BlackInvertedVolTermStructure()

BlackInvertedVolTermStructure

(

const Handle< BlackVolTermStructure > &

vol

)

Constructor takes a BlackVolTermStructure and takes everything from that.

This will work with both a floating and fixed reference date underlying surface, since we are reimplementing the reference date and update methods