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<!-- doxytag: class="QuantLib::BlackVolTermStructure" --><!-- doxytag: inherits="QuantLib::VolatilityTermStructure" -->
<p>Black-volatility term structure.
<a href="class_quant_lib_1_1_black_vol_term_structure.html#details">More...</a></p>
<p><code>#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp></code></p>
<div class="dynheader">
Inheritance diagram for BlackVolTermStructure:</div>
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<area shape="rect" id="node5" href="class_quant_lib_1_1_black_variance_term_structure.html" title="Black variance term structure." alt="" coords="5,166,192,197"/><area shape="rect" id="node7" href="class_quant_lib_1_1_black_volatility_term_structure.html" title="Black-volatility term structure." alt="" coords="216,166,403,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_volatility_term_structure.html" title="Volatility term structure." alt="" coords="128,6,280,37"/></map>
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<p><a href="class_quant_lib_1_1_black_vol_term_structure-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_vol_term_structure.html#a7e38fd346a530ec9f0919b612926bbd7">BlackVolTermStructure</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_vol_term_structure.html#a42ae80b78fc243101c7134e47ade1e71">BlackVolTermStructure</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="#a42ae80b78fc243101c7134e47ade1e71"></a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7cd5abc402b09875a5794f1700078439"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::BlackVolTermStructure" ref="a7cd5abc402b09875a5794f1700078439" 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_term_structure.html#a7cd5abc402b09875a5794f1700078439">BlackVolTermStructure</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="a07c0701fcca0c32e1aa3b7d3519a3025"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::BlackVolTermStructure" ref="a07c0701fcca0c32e1aa3b7d3519a3025" 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_term_structure.html#a07c0701fcca0c32e1aa3b7d3519a3025">BlackVolTermStructure</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 Volatility</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a877a9cfe6c66ebb041f5f45445b1f964"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::blackVol" ref="a877a9cfe6c66ebb041f5f45445b1f964" args="(const Date &maturity, Real strike, 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_vol_term_structure.html#a877a9cfe6c66ebb041f5f45445b1f964">blackVol</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturity, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot volatility <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad333e6368f943b214f8bd89aadc2870a"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::blackVol" ref="ad333e6368f943b214f8bd89aadc2870a" args="(Time maturity, Real strike, 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_vol_term_structure.html#ad333e6368f943b214f8bd89aadc2870a">blackVol</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot volatility <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a71236c422aa029f294d3ffd9f8fe224d"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::blackVariance" ref="a71236c422aa029f294d3ffd9f8fe224d" args="(const Date &maturity, Real strike, 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_vol_term_structure.html#a71236c422aa029f294d3ffd9f8fe224d">blackVariance</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturity, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot variance <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8bd17bff9748bf898e27defb4e2b572a"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::blackVariance" ref="a8bd17bff9748bf898e27defb4e2b572a" args="(Time maturity, Real strike, 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_vol_term_structure.html#a8bd17bff9748bf898e27defb4e2b572a">blackVariance</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">spot variance <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a527dc394ecc7189b236caa91c9bf7659"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::blackForwardVol" ref="a527dc394ecc7189b236caa91c9bf7659" args="(const Date &date1, const Date &date2, Real strike, 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_vol_term_structure.html#a527dc394ecc7189b236caa91c9bf7659">blackForwardVol</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, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, 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" align="right" valign="top"><a class="anchor" id="a79d4c30c7b2dc4ea4a0ecd8e1b2fba2c"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::blackForwardVol" ref="a79d4c30c7b2dc4ea4a0ecd8e1b2fba2c" args="(Time time1, Time time2, Real strike, 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_vol_term_structure.html#a79d4c30c7b2dc4ea4a0ecd8e1b2fba2c">blackForwardVol</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time1, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time2, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, 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" align="right" valign="top"><a class="anchor" id="a12c5024b13b2af38cc08894dff1cd5a2"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::blackForwardVariance" ref="a12c5024b13b2af38cc08894dff1cd5a2" args="(const Date &date1, const Date &date2, Real strike, 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_vol_term_structure.html#a12c5024b13b2af38cc08894dff1cd5a2">blackForwardVariance</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, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, 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" align="right" valign="top"><a class="anchor" id="a08e2e56c355ca48b478fbfa2193694bb"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::blackForwardVariance" ref="a08e2e56c355ca48b478fbfa2193694bb" args="(Time time1, Time time2, Real strike, 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_vol_term_structure.html#a08e2e56c355ca48b478fbfa2193694bb">blackForwardVariance</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time1, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time2, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, 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" align="right" valign="top"><a class="anchor" id="a1d7eaf2f5dccce1c7781b54d64ba4a07"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::accept" ref="a1d7eaf2f5dccce1c7781b54d64ba4a07" 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="a8f201d5f64aee87d444db159f62637f6"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::blackVarianceImpl" ref="a8f201d5f64aee87d444db159f62637f6" args="(Time t, Real strike) 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_vol_term_structure.html#a8f201d5f64aee87d444db159f62637f6">blackVarianceImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Black variance calculation. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5a2bd925ba117affe1143b6580f44812"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::blackVolImpl" ref="a5a2bd925ba117affe1143b6580f44812" args="(Time t, Real strike) 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_vol_term_structure.html#a5a2bd925ba117affe1143b6580f44812">blackVolImpl</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Black volatility calculation. <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Black-volatility term structure. </p>
<p>This abstract class defines the interface of concrete Black-volatility term structures 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="a7e38fd346a530ec9f0919b612926bbd7"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::BlackVolTermStructure" ref="a7e38fd346a530ec9f0919b612926bbd7" args="(const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> </td>
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<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>
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<td class="paramtype"><a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td>
<td class="paramname"><em>bdc</em> = <code>Following</code>, </td>
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<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>
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<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000117">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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<a class="anchor" id="a42ae80b78fc243101c7134e47ade1e71"></a><!-- doxytag: member="QuantLib::BlackVolTermStructure::BlackVolTermStructure" ref="a42ae80b78fc243101c7134e47ade1e71" args="(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</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>
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<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>
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<p>default constructor </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000118">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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