BlackVarianceCurve Class Reference

Black volatility curve modelled as variance curve. More...

#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>

Inheritance diagram for BlackVarianceCurve:

Public Member Functions
	BlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &blackVolCurve, const DayCounter &dayCounter, bool forceMonotoneVariance=true)
TermStructure interface
DayCounter	dayCounter () const
	the day counter used for date/time conversion
Date	maxDate () const
	the latest date for which the curve can return values
VolatilityTermStructure interface
Real	minStrike () const
	the minimum strike for which the term structure can return vols
Real	maxStrike () const
	the maximum strike for which the term structure can return vols
Modifiers
template<class Interpolator >
void	setInterpolation (const Interpolator &i=Interpolator())
Public Member Functions inherited from BlackVarianceTermStructure
	BlackVarianceTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor More...
	BlackVarianceTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	BlackVarianceTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
Public Member Functions inherited from BlackVolTermStructure
	BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor More...
	BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual	~BlackVolTermStructure ()
Volatility	blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
	spot volatility
Volatility	blackVol (Time maturity, Real strike, bool extrapolate=false) const
	spot volatility
Real	blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
	spot variance
Real	blackVariance (Time maturity, Real strike, bool extrapolate=false) const
	spot variance
Volatility	blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
	forward (at-the-money) volatility
Volatility	blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
	forward (at-the-money) volatility
Real	blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
	forward (at-the-money) variance
Real	blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
	forward (at-the-money) variance
Public Member Functions inherited from VolatilityTermStructure
	VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion
Date	optionDateFromTenor (const Period &) const
	period/date conversion
Public Member Functions inherited from TermStructure
	TermStructure (const DayCounter &dc=DayCounter())
	default constructor More...
	TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual	~TermStructure ()
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Time	maxTime () const
	the latest time for which the curve can return values
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation
void	update ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled

Visitability
virtual void	accept (AcyclicVisitor &)
virtual Real	blackVarianceImpl (Time t, Real) const
	Black variance calculation.

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Member Functions inherited from BlackVarianceTermStructure
Volatility	blackVolImpl (Time t, Real strike) const
Calculations
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.
Protected Member Functions inherited from VolatilityTermStructure
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
Protected Attributes inherited from TermStructure
bool	moving_
bool	updated_
Calendar	calendar_

Detailed Description

Black volatility curve modelled 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 as default; this can be changed by the setInterpolation() method.

For strike dependence, see BlackVarianceSurface.