BlackVarianceSurfaceStdDevs Class Reference

#include <qle/termstructures/blackvariancesurfacestddevs.hpp>

Inheritance diagram for BlackVarianceSurfaceStdDevs:

Public Member Functions
	BlackVarianceSurfaceStdDevs (const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > &times, const std::vector< Real > &stdDevs, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, const QuantLib::ext::shared_ptr< EqFxIndexBase > &index, bool stickyStrike=false, bool flatExtrapMoneyness=false)
Public Member Functions inherited from BlackVarianceSurfaceMoneyness
	BlackVarianceSurfaceMoneyness (const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, bool stickyStrike, bool flatExtrapMoneyness=false, BlackVolTimeExtrapolation timeExtrapolation=BlackVolTimeExtrapolation::FlatVolatility)
	BlackVarianceSurfaceMoneyness (const Date &referenceDate, const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, bool stickyStrike, bool flatExtrapMoneyness=false, BlackVolTimeExtrapolation timeExtrapolation=BlackVolTimeExtrapolation::FlatVolatility)
	Moneyness variance surface with a fixed reference date.
Date	maxDate () const override
Real	minStrike () const override
Real	maxStrike () const override
void	update () override
void	performCalculations () const override
virtual void	accept (AcyclicVisitor &) override
std::vector< Real >	moneyness () const

Static Public Member Functions
static void	populateVolMatrix (const QuantLib::Handle< QuantLib::BlackVolTermStructure > &termStructre, std::vector< std::vector< Handle< QuantLib::Quote > > > &quotesToPopulate, const std::vector< Real > &times, const std::vector< Real > &stdDevPoints, const QuantLib::Interpolation &forwardCurve, const QuantLib::Interpolation atmVolCurve)

Additional Inherited Members
bool	stickyStrike_
Handle< Quote >	spot_
std::vector< Time >	times_
std::vector< Real >	moneyness_
bool	flatExtrapMoneyness_
BlackVolTimeExtrapolation	timeExtrapolation_

Detailed Description

Black volatility surface based on forward moneyness