1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>ExtendedBlackVarianceSurface Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_extended_black_variance_surface.html">ExtendedBlackVarianceSurface</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-types">Public Types</a> |
<a href="#pub-methods">Public Member Functions</a> </div>
<div class="headertitle">
<div class="title">ExtendedBlackVarianceSurface Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::ExtendedBlackVarianceSurface" --><!-- doxytag: inherits="QuantLib::BlackVarianceTermStructure" -->
<p>Black volatility surface modelled as variance surface.
<a href="class_quant_lib_1_1_extended_black_variance_surface.html#details">More...</a></p>
<p><code>#include <ql/experimental/volatility/extendedblackvariancesurface.hpp></code></p>
<div class="dynheader">
Inheritance diagram for ExtendedBlackVarianceSurface:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_extended_black_variance_surface__inherit__graph.png" border="0" usemap="#_extended_black_variance_surface_inherit__map" alt="Inheritance graph"/></div>
<map name="_extended_black_variance_surface_inherit__map" id="_extended_black_variance_surface_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_black_variance_term_structure.html" title="Black variance term structure." alt="" coords="15,6,201,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_extended_black_variance_surface-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">enum  </td><td class="memItemRight" valign="bottom"><b>Extrapolation</b> { <b>ConstantExtrapolation</b>,
<b>InterpolatorDefaultExtrapolation</b>
}</td></tr>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad450699920f65fd2efe34adb8197e628"></a><!-- doxytag: member="QuantLib::ExtendedBlackVarianceSurface::ExtendedBlackVarianceSurface" ref="ad450699920f65fd2efe34adb8197e628" args="(const Date &referenceDate, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &strikes, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation)" -->
 </td><td class="memItemRight" valign="bottom"><b>ExtendedBlackVarianceSurface</b> (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> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a>, const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &dates, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &strikes, const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > &volatilities, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &<a class="el" href="class_quant_lib_1_1_extended_black_variance_surface.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::ExtendedBlackVarianceSurface::dayCounter" ref="ac147d63df367bbe5282b76b1f98cb9be" args="() const " -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extended_black_variance_surface.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::ExtendedBlackVarianceSurface::maxDate" ref="a74d8fc5480ca811db8332b7b30597fe9" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extended_black_variance_surface.html#a74d8fc5480ca811db8332b7b30597fe9">maxDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aec700319eaa1c6fca66df8e15aea6167"></a><!-- doxytag: member="QuantLib::ExtendedBlackVarianceSurface::minStrike" ref="aec700319eaa1c6fca66df8e15aea6167" args="() 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_extended_black_variance_surface.html#aec700319eaa1c6fca66df8e15aea6167">minStrike</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the minimum strike for which the term structure can return vols <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abe69dc8630a5ea3f8333cfdfd01ba765"></a><!-- doxytag: member="QuantLib::ExtendedBlackVarianceSurface::maxStrike" ref="abe69dc8630a5ea3f8333cfdfd01ba765" args="() 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_extended_black_variance_surface.html#abe69dc8630a5ea3f8333cfdfd01ba765">maxStrike</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the maximum strike for which the term structure can return vols <br/></td></tr>
<tr><td class="memTemplParams" colspan="2"><a class="anchor" id="a9ef2833161e7150c5b0fbfbfc91b6791"></a><!-- doxytag: member="QuantLib::ExtendedBlackVarianceSurface::setInterpolation" ref="a9ef2833161e7150c5b0fbfbfc91b6791" args="(const Interpolator &i=Interpolator())" -->
template<class Interpolator > </td></tr>
<tr><td class="memTemplItemLeft" align="right" valign="top">void </td><td class="memTemplItemRight" valign="bottom"><b>setInterpolation</b> (const Interpolator &i=Interpolator())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1d7eaf2f5dccce1c7781b54d64ba4a07"></a><!-- doxytag: member="QuantLib::ExtendedBlackVarianceSurface::accept" ref="a1d7eaf2f5dccce1c7781b54d64ba4a07" 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 class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_extended_black_variance_surface.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Black volatility surface modelled as variance surface. </p>
<p>This class is similar to <a class="el" href="class_quant_lib_1_1_black_variance_surface.html" title="Black volatility surface modelled as variance surface.">BlackVarianceSurface</a>, but extends it to use quotes for the input volatilities. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="ac5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::ExtendedBlackVarianceSurface::update" ref="ac5c54df7ed3b930268c8d7752c101725" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_extended_black_variance_surface.html#ac5c54df7ed3b930268c8d7752c101725">update</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td><code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_term_structure.html#ac5c54df7ed3b930268c8d7752c101725">TermStructure</a>.</p>
</div>
</div>
</div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
