BlackMonotoneVarVolTermStructure Class Reference

Black volatility surface that monotonises the variance in an existing surface. More...

#include <qle/termstructures/blackmonotonevarvoltermstructure.hpp>

Inheritance diagram for BlackMonotoneVarVolTermStructure:

Public Member Functions
	BlackMonotoneVarVolTermStructure (const Handle< BlackVolTermStructure > &vol, const std::vector< Time > &timePoints)
	Constructor takes a BlackVolTermStructure and an array of time points which required monotonic variance.
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
virtual Real	blackVarianceImpl (Time t, Real strike) const override
virtual Volatility	blackVolImpl (Time t, Real strike) const override
void	setMonotoneVar (const Real &strike) const
Real	getMonotoneVar (const Time &t, const Real &strike) const

Detailed Description

Black volatility surface that monotonises the variance in an existing surface.

This class is used when monotonic variance is required

    \ingroup termstructures

Constructor & Destructor Documentation

BlackMonotoneVarVolTermStructure()

BlackMonotoneVarVolTermStructure	(	const Handle< BlackVolTermStructure > &	vol,
		const std::vector< Time > &	timePoints )

Constructor takes a BlackVolTermStructure and an array of time points which required monotonic variance.

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