SpreadedBlackVolatilitySurfaceStdDevs Class Reference

Black volatility surface based on std devs (standardised log moneyness). More...

#include <qle/termstructures/spreadedblackvolatilitysurfacemoneyness.hpp>

Inheritance diagram for SpreadedBlackVolatilitySurfaceStdDevs:

Public Member Functions
	SpreadedBlackVolatilitySurfaceMoneyness (const Handle< BlackVolTermStructure > &referenceVol, const Handle< Quote > &movingSpot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const Handle< Quote > &stickySpot, const Handle< YieldTermStructure > &stickyDividendTs, const Handle< YieldTermStructure > &stickyRiskFreeTs, const Handle< YieldTermStructure > &movingDividendTs, const Handle< YieldTermStructure > &movingRiskFreeTs, bool stickyStrike)
Public Member Functions inherited from SpreadedBlackVolatilitySurfaceMoneyness
	SpreadedBlackVolatilitySurfaceMoneyness (const Handle< BlackVolTermStructure > &referenceVol, const Handle< Quote > &movingSpot, const std::vector< Time > &times, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const Handle< Quote > &stickySpot, const Handle< YieldTermStructure > &stickyDividendTs, const Handle< YieldTermStructure > &stickyRiskFreeTs, const Handle< YieldTermStructure > &movingDividendTs, const Handle< YieldTermStructure > &movingRiskFreeTs, bool stickyStrike)
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
const std::vector< QuantLib::Real > &	moneyness () const

Additional Inherited Members
Protected Attributes inherited from SpreadedBlackVolatilitySurfaceMoneyness
Handle< BlackVolTermStructure >	referenceVol_
Handle< Quote >	movingSpot_
std::vector< Time >	times_
std::vector< Real >	moneyness_
std::vector< std::vector< Handle< Quote > > >	volSpreads_
Handle< Quote >	stickySpot_
Handle< YieldTermStructure >	stickyDividendTs_
Handle< YieldTermStructure >	stickyRiskFreeTs_
Handle< YieldTermStructure >	movingDividendTs_
Handle< YieldTermStructure >	movingRiskFreeTs_
bool	stickyStrike_
Matrix	data_
Interpolation2D	volSpreadSurface_

Detailed Description

Black volatility surface based on std devs (standardised log moneyness).