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<!-- doxytag: class="QuantLib::BlackAtmVolCurve" --><!-- doxytag: inherits="QuantLib::VolatilityTermStructure" -->
<p>Black at-the-money (no-smile) volatility curve.
<a href="class_quant_lib_1_1_black_atm_vol_curve.html#details">More...</a></p>
<p><code>#include <ql/experimental/volatility/blackatmvolcurve.hpp></code></p>
<div class="dynheader">
Inheritance diagram for BlackAtmVolCurve:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_black_atm_vol_curve__inherit__graph.png" border="0" usemap="#_black_atm_vol_curve_inherit__map" alt="Inheritance graph"/></div>
<map name="_black_atm_vol_curve_inherit__map" id="_black_atm_vol_curve_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_abcd_atm_vol_curve.html" title="Abcd-interpolated at-the-money (no-smile) volatility curve." alt="" coords="5,166,133,197"/><area shape="rect" id="node7" href="class_quant_lib_1_1_black_vol_surface.html" title="Black volatility (smile) surface." alt="" coords="157,166,275,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_volatility_term_structure.html" title="Volatility term structure." alt="" coords="67,6,219,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_black_atm_vol_curve-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>See the <a class="el" href="class_quant_lib_1_1_term_structure.html" title="Basic term-structure functionality.">TermStructure</a> documentation for issues regarding constructors. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#a804c305b2630b426e940d4fa622ce279">BlackAtmVolCurve</a> (const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">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="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#ae6f7aa60ece6266f81c578c61e900c9f">BlackAtmVolCurve</a> (<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">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="#ae6f7aa60ece6266f81c578c61e900c9f"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac4c042801bd99136f21685ae1e23dca7"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::BlackAtmVolCurve" ref="ac4c042801bd99136f21685ae1e23dca7" 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_atm_vol_curve.html#ac4c042801bd99136f21685ae1e23dca7">BlackAtmVolCurve</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</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#gaff46c5ae9385d20709bedade86edd368">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" align="right" valign="top"><a class="anchor" id="a3eee3278ff50e14cd7d0974a4bbc034c"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::BlackAtmVolCurve" ref="a3eee3278ff50e14cd7d0974a4bbc034c" 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_atm_vol_curve.html#a3eee3278ff50e14cd7d0974a4bbc034c">BlackAtmVolCurve</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#ab6506da60fec85c6f146f1b43116de70">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">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 at-the-money spot volatility</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad1cee2b8599f6b7fd230617cf8649889"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::atmVol" ref="ad1cee2b8599f6b7fd230617cf8649889" args="(const Period &optionTenor, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#ad1cee2b8599f6b7fd230617cf8649889">atmVol</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &optionTenor, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money volatility <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1b04f877216db68be0905c586074c70d"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::atmVol" ref="a1b04f877216db68be0905c586074c70d" args="(const Date &maturity, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#a1b04f877216db68be0905c586074c70d">atmVol</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturity, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money volatility <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af6f663b5e030187f2f72e1cc8b51386f"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::atmVol" ref="af6f663b5e030187f2f72e1cc8b51386f" args="(Time maturity, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#af6f663b5e030187f2f72e1cc8b51386f">atmVol</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money volatility <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af6574446d68d15970f3365291532afc1"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::atmVariance" ref="af6574446d68d15970f3365291532afc1" args="(const Period &optionTenor, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#af6574446d68d15970f3365291532afc1">atmVariance</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &optionTenor, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money variance <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a534bc78916bb2787dfa8ee256a863189"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::atmVariance" ref="a534bc78916bb2787dfa8ee256a863189" args="(const Date &maturity, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#a534bc78916bb2787dfa8ee256a863189">atmVariance</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturity, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money variance <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a06268996a49c215e3f79b8d935c0ca10"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::atmVariance" ref="a06268996a49c215e3f79b8d935c0ca10" args="(Time maturity, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#a06268996a49c215e3f79b8d935c0ca10">atmVariance</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money variance <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">Visitability</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a896099363a2a409d2485c3ce9e4e4265"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::accept" ref="a896099363a2a409d2485c3ce9e4e4265" 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"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3f60fbe8f11376ac813a5f751d33161c"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::atmVarianceImpl" ref="a3f60fbe8f11376ac813a5f751d33161c" args="(Time t) const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#a3f60fbe8f11376ac813a5f751d33161c">atmVarianceImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money variance calculation <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3e805d2195b83e2011386f39514d6100"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::atmVolImpl" ref="a3e805d2195b83e2011386f39514d6100" args="(Time t) const =0" -->
virtual <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html#a3e805d2195b83e2011386f39514d6100">atmVolImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot at-the-money volatility calculation <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Black at-the-money (no-smile) volatility curve. </p>
<p>This abstract class defines the interface of concrete Black at-the-money (no-smile) volatility curves which will be derived from this one.</p>
<p>Volatilities are assumed to be expressed on an annual basis. </p>
</div><hr/><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" id="a804c305b2630b426e940d4fa622ce279"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::BlackAtmVolCurve" ref="a804c305b2630b426e940d4fa622ce279" args="(const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html">BlackAtmVolCurve</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>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">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>
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<tr>
<td></td>
<td>)</td>
<td></td><td></td>
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<div class="memdoc">
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000020">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#aa9ae6cc6009ac64d4f265065eab08be0" title="the date at which discount = 1.0 and/or variance = 0.0">referenceDate()</a> method. </dd></dl>
</div>
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<a class="anchor" id="ae6f7aa60ece6266f81c578c61e900c9f"></a><!-- doxytag: member="QuantLib::BlackAtmVolCurve::BlackAtmVolCurve" ref="ae6f7aa60ece6266f81c578c61e900c9f" args="(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_black_atm_vol_curve.html">BlackAtmVolCurve</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">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>
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<td></td>
<td>)</td>
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<div class="memdoc">
<p>default constructor </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000021">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#aa9ae6cc6009ac64d4f265065eab08be0" title="the date at which discount = 1.0 and/or variance = 0.0">referenceDate()</a> method. </dd></dl>
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