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<li class="navelem"><a class="el" href="class_quant_lib_1_1_implied_vol_term_structure.html">ImpliedVolTermStructure</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> </div>
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<div class="title">ImpliedVolTermStructure Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::ImpliedVolTermStructure" --><!-- doxytag: inherits="QuantLib::BlackVarianceTermStructure" -->
<p>Implied vol term structure at a given date in the future.
<a href="class_quant_lib_1_1_implied_vol_term_structure.html#details">More...</a></p>
<p><code>#include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp></code></p>
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Inheritance diagram for ImpliedVolTermStructure:</div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_black_variance_term_structure.html" title="Black variance term structure." alt="" coords="5,6,192,37"/></map>
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<p><a href="class_quant_lib_1_1_implied_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 class="memItemLeft" align="right" valign="top"><a class="anchor" id="a02a9b8aeaad6b9883a33b67849fd0461"></a><!-- doxytag: member="QuantLib::ImpliedVolTermStructure::ImpliedVolTermStructure" ref="a02a9b8aeaad6b9883a33b67849fd0461" args="(const Handle< BlackVolTermStructure > &origTS, const Date &referenceDate)" -->
 </td><td class="memItemRight" valign="bottom"><b>ImpliedVolTermStructure</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > &origTS, 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>)</td></tr>
<tr><td colspan="2"><div class="groupHeader">TermStructure interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::ImpliedVolTermStructure::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_implied_vol_term_structure.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::ImpliedVolTermStructure::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_implied_vol_term_structure.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 colspan="2"><div class="groupHeader">VolatilityTermStructure interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aec700319eaa1c6fca66df8e15aea6167"></a><!-- doxytag: member="QuantLib::ImpliedVolTermStructure::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_implied_vol_term_structure.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::ImpliedVolTermStructure::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_implied_vol_term_structure.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 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::ImpliedVolTermStructure::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 class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa1d54e6aae7eded3d225f318ea0809e8"></a><!-- doxytag: member="QuantLib::ImpliedVolTermStructure::blackVarianceImpl" ref="aa1d54e6aae7eded3d225f318ea0809e8" args="(Time t, Real strike) const " -->
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_implied_vol_term_structure.html#aa1d54e6aae7eded3d225f318ea0809e8">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 </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Black variance calculation. <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Implied vol term structure at a given date in the future. </p>
<p>The given date will be the implied reference date. </p>
<dl class="note"><dt><b>Note:</b></dt><dd>This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.</dd></dl>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000123">Warning:</a></b></dt><dd>It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only. </dd></dl>
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