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<h1>BlackVolSurface Class Reference</h1><!-- doxytag: class="QuantLib::BlackVolSurface" --><!-- doxytag: inherits="QuantLib::BlackAtmVolCurve" --><code>#include <ql/experimental/blackvolsurface.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for BlackVolSurface:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_black_vol_surface__inherit__graph.png" border="0" usemap="#_black_vol_surface__inherit__map" alt="Inheritance graph"></center>
<map name="_black_vol_surface__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_equity_f_x_vol_surface.html" title="Equity/FX volatility (smile) surface." alt="" coords="5,161,152,188"><area shape="rect" href="class_quant_lib_1_1_interest_rate_vol_surface.html" title="Interest rate volatility (smile) surface." alt="" coords="176,161,347,188"><area shape="rect" href="class_quant_lib_1_1_black_atm_vol_curve.html" title="Black at-the-money (no-smile) volatility curve." alt="" coords="99,7,240,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_black_vol_surface-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Black volatility (smile) surface.
<p>
This abstract class defines the interface of concrete Black volatility (smile) surface which will be derived from this one.<p>
Volatilities are assumed to be expressed on an annual basis. <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText">See the TermStructure documentation for issues regarding constructors. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#f8df69dbff0596c93e797fe76ec9fa72">BlackVolSurface</a> (const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">default constructor <a href="#f8df69dbff0596c93e797fe76ec9fa72"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="36d6c83a231ba52c91b94b2351dadbba"></a><!-- doxytag: member="QuantLib::BlackVolSurface::BlackVolSurface" ref="36d6c83a231ba52c91b94b2351dadbba" args="(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#36d6c83a231ba52c91b94b2351dadbba">BlackVolSurface</a> (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=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="623d0f595d50ad0994d9970b329c4b07"></a><!-- doxytag: member="QuantLib::BlackVolSurface::BlackVolSurface" ref="623d0f595d50ad0994d9970b329c4b07" args="(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#623d0f595d50ad0994d9970b329c4b07">BlackVolSurface</a> (<a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Black spot volatility</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d3e4d80efb08be55b65ab6cf23c7924e"></a><!-- doxytag: member="QuantLib::BlackVolSurface::smileSection" ref="d3e4d80efb08be55b65ab6cf23c7924e" args="(const Period &, bool extrapolate) const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#d3e4d80efb08be55b65ab6cf23c7924e">smileSection</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &, bool extrapolate) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the smile for a given option tenor <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="484e8f48a2fe92a9aaac3e1dc670d3fc"></a><!-- doxytag: member="QuantLib::BlackVolSurface::smileSection" ref="484e8f48a2fe92a9aaac3e1dc670d3fc" args="(const Date &, bool extrapolate) const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#484e8f48a2fe92a9aaac3e1dc670d3fc">smileSection</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &, bool extrapolate) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the smile for a given option date <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fda1b45776741cd9b66565d3c9ca1b8"></a><!-- doxytag: member="QuantLib::BlackVolSurface::smileSection" ref="3fda1b45776741cd9b66565d3c9ca1b8" args="(Time, bool extrapolate) const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#3fda1b45776741cd9b66565d3c9ca1b8">smileSection</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, bool extrapolate) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the smile for a given option time <br></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::BlackVolSurface::accept" ref="1d7eaf2f5dccce1c7781b54d64ba4a07" args="(AcyclicVisitor &)" -->
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 colspan="2"><div class="groupHeader">BlackAtmVolCurve interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="399f9448fe345c23f0484547b98749fc"></a><!-- doxytag: member="QuantLib::BlackVolSurface::atmVarianceImpl" ref="399f9448fe345c23f0484547b98749fc" args="(Time t) 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_vol_surface.html#399f9448fe345c23f0484547b98749fc">atmVarianceImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money variance calculation <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="19afdb51423c925cb7f5ce598b2369ec"></a><!-- doxytag: member="QuantLib::BlackVolSurface::atmVolImpl" ref="19afdb51423c925cb7f5ce598b2369ec" args="(Time t) const " -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html#19afdb51423c925cb7f5ce598b2369ec">atmVolImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money volatility calculation <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td colspan="2"><div class="groupText">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. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0234ac85220b034978d6c07c34a4c29c"></a><!-- doxytag: member="QuantLib::BlackVolSurface::smileSectionImpl" ref="0234ac85220b034978d6c07c34a4c29c" args="(Time) const =0" -->
virtual boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><b>smileSectionImpl</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const =0</td></tr>
</table>
<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="f8df69dbff0596c93e797fe76ec9fa72"></a><!-- doxytag: member="QuantLib::BlackVolSurface::BlackVolSurface" ref="f8df69dbff0596c93e797fe76ec9fa72" args="(const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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<td class="memname"><a class="el" href="class_quant_lib_1_1_black_vol_surface.html">BlackVolSurface</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> & </td>
<td class="paramname"> <em>cal</em> = <code><a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>()</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td>
<td class="paramname"> <em>bdc</em> = <code>Following</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"> <em>dc</em> = <code><a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>()</code></td><td> </td>
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<td></td>
<td>)</td>
<td></td><td></td><td width="100%"></td>
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<div class="memdoc">
<p>
default constructor
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000006">Warning:</a></b></dt><dd>term structures initialized by means of this constructor must manage their own reference date by overriding the <a class="el" href="class_quant_lib_1_1_term_structure.html#a9ae6cc6009ac64d4f265065eab08be0" title="the date at which discount = 1.0 and/or variance = 0.0">referenceDate()</a> method. </dd></dl>
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