BlackVarianceCurve3 Class Reference

Black volatility curve modeled as variance curve. More...

#include <qle/termstructures/blackvariancecurve3.hpp>

Inheritance diagram for BlackVarianceCurve3:

Public Member Functions
	BlackVarianceCurve3 (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc, const std::vector< Time > &times, const std::vector< Handle< Quote > > &blackVolCurve, bool requireMonotoneVariance=true)
TermStructure interface
Date	maxDate () const override
VolatilityTermStructure interface
Real	minStrike () const override
Real	maxStrike () const override
Observer interface
void	update () override
LazyObject interface
void	performCalculations () const override

Visitability
virtual void	accept (AcyclicVisitor &) override
virtual Real	blackVarianceImpl (Time t, Real) const override

Detailed Description

Black volatility curve modeled as variance curve.

This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.

The calculation is performed interpolating on the variance curve. Linear interpolation is used.