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<title>QuantLib: BlackVolatilityTermStructure Class Reference</title>
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<h1>BlackVolatilityTermStructure Class Reference</h1><!-- doxytag: class="QuantLib::BlackVolatilityTermStructure" --><!-- doxytag: inherits="QuantLib::BlackVolTermStructure" --><code>#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for BlackVolatilityTermStructure:</div>
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<p><center><img src="class_quant_lib_1_1_black_volatility_term_structure__inherit__graph.png" border="0" usemap="#_black_volatility_term_structure__inherit__map" alt="Inheritance graph"></center>
<map name="_black_volatility_term_structure__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_black_constant_vol.html" title="Constant Black volatility, no time-strike dependence." alt="" coords="39,161,172,188"><area shape="rect" href="class_quant_lib_1_1_black_vol_term_structure.html" title="Black-volatility term structure." alt="" coords="23,7,188,33"></map>
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<a href="class_quant_lib_1_1_black_volatility_term_structure-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Black-volatility term structure.
<p>
This abstract class acts as an adapter to <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html" title="Black-volatility term structure.">BlackVolTermStructure</a> allowing the programmer to implement only the <code>blackVolImpl(Time, Real, bool)</code> method in derived classes.<p>
Volatility 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_volatility_term_structure.html#eeddf02c80b6af6a86dbe0c2ec15f0da">BlackVolatilityTermStructure</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="#eeddf02c80b6af6a86dbe0c2ec15f0da"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="66abdee64cb9e46b819f99acff854edc"></a><!-- doxytag: member="QuantLib::BlackVolatilityTermStructure::BlackVolatilityTermStructure" ref="66abdee64cb9e46b819f99acff854edc" 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_volatility_term_structure.html#66abdee64cb9e46b819f99acff854edc">BlackVolatilityTermStructure</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="323a8efbb2829ff57eca2166cf0f6946"></a><!-- doxytag: member="QuantLib::BlackVolatilityTermStructure::BlackVolatilityTermStructure" ref="323a8efbb2829ff57eca2166cf0f6946" args="(Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_volatility_term_structure.html#323a8efbb2829ff57eca2166cf0f6946">BlackVolatilityTermStructure</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> &cal, <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">Visitability</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1d7eaf2f5dccce1c7781b54d64ba4a07"></a><!-- doxytag: member="QuantLib::BlackVolatilityTermStructure::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="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_volatility_term_structure.html#2b2daeb3aa678ba0363a0ba78e5cb94e">blackVarianceImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const </td></tr>
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<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="eeddf02c80b6af6a86dbe0c2ec15f0da"></a><!-- doxytag: member="QuantLib::BlackVolatilityTermStructure::BlackVolatilityTermStructure" ref="eeddf02c80b6af6a86dbe0c2ec15f0da" args="(const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_black_volatility_term_structure.html">BlackVolatilityTermStructure</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>
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<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>
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<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>
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<p>
default constructor
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000094">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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<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="2b2daeb3aa678ba0363a0ba78e5cb94e"></a><!-- doxytag: member="QuantLib::BlackVolatilityTermStructure::blackVarianceImpl" ref="2b2daeb3aa678ba0363a0ba78e5cb94e" args="(Time maturity, Real strike) const " -->
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<td class="memname"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> blackVarianceImpl </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>maturity</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>strike</em></td><td> </td>
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<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const<code> [protected, virtual]</code></td>
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<div class="memdoc">
<p>
Returns the variance for the given strike and date calculating it from the volatility.
<p>Implements <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html#8f201d5f64aee87d444db159f62637f6">BlackVolTermStructure</a>.</p>
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