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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_black_variance_surface.html">BlackVarianceSurface</a></div>
<h1>BlackVarianceSurface Class Reference</h1><!-- doxytag: class="QuantLib::BlackVarianceSurface" --><!-- doxytag: inherits="QuantLib::BlackVarianceTermStructure" --><code>#include <ql/Volatilities/blackvariancesurface.hpp></code>
<p>
Inheritance diagram for BlackVarianceSurface:<p><center><img src="class_quant_lib_1_1_black_variance_surface__inherit__graph.png" border="0" usemap="#_black_variance_surface__inherit__map" alt="Inheritance graph"></center>
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_black_variance_surface-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Black volatility surface modelled as variance surface.
<p>
This class calculates time/strike dependent Black volatilities using as input a matrix of Black volatilities observed in the market.<p>
The calculation is performed interpolating on the variance surface. <a class="el" href="class_quant_lib_1_1_bilinear.html">Bilinear</a> interpolation is used as default; this can be changed by the setInterpolation() method.<p>
<dl compact><dt><b><a class="el" href="todo.html#_todo000062">Todo:</a></b></dt><dd>check time extrapolation</dd></dl>
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<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">enum </td><td class="memItemRight" valign="bottom"><b>Extrapolation</b> { <b>ConstantExtrapolation</b>,
<b>InterpolatorDefaultExtrapolation</b>
}</td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44f7851e5db570cb94896f2aa74fe2a1"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::BlackVarianceSurface" ref="44f7851e5db570cb94896f2aa74fe2a1" args="(const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Real > &strikes, const Matrix &blackVolMatrix, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation)" -->
</td><td class="memItemRight" valign="bottom"><b>BlackVarianceSurface</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &dates, const std::vector< Real > &strikes, const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &blackVolMatrix, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation)</td></tr>
<tr><td colspan="2"><div class="groupHeader">BlackVolTermStructure interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d49654ea33055b03f8666910acc13880"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::dayCounter" ref="d49654ea33055b03f8666910acc13880" args="() const" -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_variance_surface.html#d49654ea33055b03f8666910acc13880">dayCounter</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6fa1d746e67f372c6e09e4ec9ad8973b"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::maxDate" ref="6fa1d746e67f372c6e09e4ec9ad8973b" args="() const" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_variance_surface.html#6fa1d746e67f372c6e09e4ec9ad8973b">maxDate</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="08611adcd4c1461233257e6ff17c582a"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::minStrike" ref="08611adcd4c1461233257e6ff17c582a" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_variance_surface.html#08611adcd4c1461233257e6ff17c582a">minStrike</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the minimum strike for which the term structure can return vols <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4e78ef8a9ed6ba66165705dc96b8d5bf"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::maxStrike" ref="4e78ef8a9ed6ba66165705dc96b8d5bf" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_variance_surface.html#4e78ef8a9ed6ba66165705dc96b8d5bf">maxStrike</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the maximum strike for which the term structure can return vols <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Modifiers</div></td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="8672e81300adcb475e4e964b511757ed"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::setInterpolation" ref="8672e81300adcb475e4e964b511757ed" args="(const Interpolator &i=Interpolator())" -->
template<class Interpolator> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>setInterpolation</b> (const Interpolator &i=Interpolator())</td></tr>
<tr><td colspan="2"><div class="groupHeader">Visitability</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1d7eaf2f5dccce1c7781b54d64ba4a07"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::accept" ref="1d7eaf2f5dccce1c7781b54d64ba4a07" args="(AcyclicVisitor &)" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>accept</b> (<a class="el" href="class_quant_lib_1_1_acyclic_visitor.html">AcyclicVisitor</a> &)</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="09743beeb203823c4210a18876fc744c"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::blackVarianceImpl" ref="09743beeb203823c4210a18876fc744c" args="(Time t, Real strike) const " -->
virtual Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_variance_surface.html#09743beeb203823c4210a18876fc744c">blackVarianceImpl</a> (Time t, Real strike) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Black variance calculation. <br></td></tr>
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