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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_equity_f_x_vol_surface.html">EquityFXVolSurface</a></div>
<h1>EquityFXVolSurface Class Reference</h1><!-- doxytag: class="QuantLib::EquityFXVolSurface" --><!-- doxytag: inherits="QuantLib::BlackVolSurface" --><code>#include <ql/experimental/equityfxvolsurface.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for EquityFXVolSurface:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_equity_f_x_vol_surface__inherit__graph.png" border="0" usemap="#_equity_f_x_vol_surface__inherit__map" alt="Inheritance graph"></center>
<map name="_equity_f_x_vol_surface__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_black_vol_surface.html" title="Black volatility (smile) surface." alt="" coords="17,7,140,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_equity_f_x_vol_surface-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Equity/FX volatility (smile) surface.
<p>
This abstract class defines the interface of concrete Equity/FX volatility (smile) surfaces which will be derived from this one.<p>
Volatilities are assumed to be expressed on an annual basis.<p>
It's only in absence of smile that the concept of (at-the-money) forward volatility makes sense. <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_equity_f_x_vol_surface.html#14a442ddf97515fe8feaebab60f83eca">EquityFXVolSurface</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="#14a442ddf97515fe8feaebab60f83eca"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c71f86181f4acbeb5513896b5d2bdf16"></a><!-- doxytag: member="QuantLib::EquityFXVolSurface::EquityFXVolSurface" ref="c71f86181f4acbeb5513896b5d2bdf16" 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_equity_f_x_vol_surface.html#c71f86181f4acbeb5513896b5d2bdf16">EquityFXVolSurface</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="8bbdc64d3440bb12c2514155cc9b80d4"></a><!-- doxytag: member="QuantLib::EquityFXVolSurface::EquityFXVolSurface" ref="8bbdc64d3440bb12c2514155cc9b80d4" 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_equity_f_x_vol_surface.html#8bbdc64d3440bb12c2514155cc9b80d4">EquityFXVolSurface</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 Volatility</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="07132e3871f8c46f3b95d40761709b8b"></a><!-- doxytag: member="QuantLib::EquityFXVolSurface::atmForwardVol" ref="07132e3871f8c46f3b95d40761709b8b" args="(const Date &date1, const Date &date2, bool extrapolate=false) 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_equity_f_x_vol_surface.html#07132e3871f8c46f3b95d40761709b8b">atmForwardVol</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date1, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date2, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">forward (at-the-money) volatility <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9979dee8d8445bcab0c152467d6031af"></a><!-- doxytag: member="QuantLib::EquityFXVolSurface::atmForwardVol" ref="9979dee8d8445bcab0c152467d6031af" args="(Time time1, Time time2, bool extrapolate=false) 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_equity_f_x_vol_surface.html#9979dee8d8445bcab0c152467d6031af">atmForwardVol</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time1, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time2, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">forward (at-the-money) volatility <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b79b3c7117aed3a54934a3a7dbef3a2c"></a><!-- doxytag: member="QuantLib::EquityFXVolSurface::atmForwardVariance" ref="b79b3c7117aed3a54934a3a7dbef3a2c" args="(const Date &date1, const Date &date2, bool extrapolate=false) 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_equity_f_x_vol_surface.html#b79b3c7117aed3a54934a3a7dbef3a2c">atmForwardVariance</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date1, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &date2, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">forward (at-the-money) variance <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="31c485c60a1fa59b1172e31a34ea570a"></a><!-- doxytag: member="QuantLib::EquityFXVolSurface::atmForwardVariance" ref="31c485c60a1fa59b1172e31a34ea570a" args="(Time time1, Time time2, bool extrapolate=false) 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_equity_f_x_vol_surface.html#31c485c60a1fa59b1172e31a34ea570a">atmForwardVariance</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time1, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time2, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">forward (at-the-money) variance <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="896099363a2a409d2485c3ce9e4e4265"></a><!-- doxytag: member="QuantLib::EquityFXVolSurface::accept" ref="896099363a2a409d2485c3ce9e4e4265" 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>
</table>
<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="14a442ddf97515fe8feaebab60f83eca"></a><!-- doxytag: member="QuantLib::EquityFXVolSurface::EquityFXVolSurface" ref="14a442ddf97515fe8feaebab60f83eca" 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_equity_f_x_vol_surface.html">EquityFXVolSurface</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>
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<div class="memdoc">
<p>
default constructor
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000007">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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