BlackVolSurface Class Reference

#include <ql/experimental/blackvolsurface.hpp>

Inheritance diagram for BlackVolSurface:

List of all members.


Detailed Description

Black volatility (smile) surface.

This abstract class defines the interface of concrete Black volatility (smile) surface which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

 BlackVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor
 BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 BlackVolSurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
Black spot volatility
boost::shared_ptr< SmileSectionsmileSection (const Period &, bool extrapolate) const
 returns the smile for a given option tenor
boost::shared_ptr< SmileSectionsmileSection (const Date &, bool extrapolate) const
 returns the smile for a given option date
boost::shared_ptr< SmileSectionsmileSection (Time, bool extrapolate) const
 returns the smile for a given option time
Visitability
void accept (AcyclicVisitor &)

Protected Member Functions

BlackAtmVolCurve interface
Real atmVarianceImpl (Time t) const
 spot at-the-money variance calculation
Volatility atmVolImpl (Time t) const
 spot at-the-money volatility calculation
Calculations
This method must be implemented in derived classes to perform the actual volatility calculations. When it is called, time check has already been performed; therefore, it must assume that time-extrapolation is allowed.

virtual boost::shared_ptr
< SmileSection
smileSectionImpl (Time) const =0


Constructor & Destructor Documentation

BlackVolSurface ( const Calendar cal = Calendar(),
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.