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

#include <qle/termstructures/spreadedblackvolatilitycurve.hpp>

Inheritance diagram for SpreadedBlackVolatilityCurve:

Public Member Functions
	SpreadedBlackVolatilityCurve (const Handle< BlackVolTermStructure > &referenceVol, const std::vector< Time > &times, const std::vector< Handle< Quote > > &volSpreads, const bool useAtmReferenceVolsOnly=false)
Date	maxDate () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
Real	minStrike () const override
Real	maxStrike () const override
void	update () override

Detailed Description

Spreaded Black volatility curve modeled as variance curve.

Constructor & Destructor Documentation

SpreadedBlackVolatilityCurve	(	const Handle< BlackVolTermStructure > &	referenceVol,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	volSpreads,
		const bool	useAtmReferenceVolsOnly = false )

times should be consistent with reference ts day counter
if useAtmReferenceVolsOnly, only vols with strike Null<Real>() are read from the referenceVol, otherwise the full reference vol surface (if it is one) is used