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<title>QuantLib: BlackVarianceSurface Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<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/termstructures/volatility/equityfx/blackvariancesurface.hpp></code>
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Inheritance diagram for BlackVarianceSurface:</div>
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<area shape="rect" href="class_quant_lib_1_1_black_variance_term_structure.html" title="Black variance term structure." alt="" coords="5,7,205,33"></map>
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<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" title="bilinear-interpolation factory">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#_todo000048">Possible enhancements:</a></b></dt><dd>check time extrapolation</dd></dl>
<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="9a1efd40689bf8d3e0253842d79a046e"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::BlackVarianceSurface" ref="9a1efd40689bf8d3e0253842d79a046e" args="(const Date &referenceDate, const Calendar &cal, 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 <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &dates, const std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &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="c147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::dayCounter" ref="c147d63df367bbe5282b76b1f98cb9be" 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#c147d63df367bbe5282b76b1f98cb9be">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="74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::maxDate" ref="74d8fc5480ca811db8332b7b30597fe9" 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#74d8fc5480ca811db8332b7b30597fe9">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="ec700319eaa1c6fca66df8e15aea6167"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::minStrike" ref="ec700319eaa1c6fca66df8e15aea6167" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_variance_surface.html#ec700319eaa1c6fca66df8e15aea6167">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="be69dc8630a5ea3f8333cfdfd01ba765"></a><!-- doxytag: member="QuantLib::BlackVarianceSurface::maxStrike" ref="be69dc8630a5ea3f8333cfdfd01ba765" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_variance_surface.html#be69dc8630a5ea3f8333cfdfd01ba765">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 <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_variance_surface.html#09743beeb203823c4210a18876fc744c">blackVarianceImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Black variance calculation. <br></td></tr>
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