QuantLib_ExtendedBlackVarianceCurve

Langue: en

Autres versions - même langue

Version: 374464 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::ExtendedBlackVarianceCurve -

Black volatility curve modelled as variance curve.

SYNOPSIS


#include <ql/experimental/volatility/extendedblackvariancecurve.hpp>

Inherits QuantLib::BlackVarianceTermStructure.

Public Member Functions


ExtendedBlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, bool forceMonotoneVariance=true)

DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values
Real minStrike () const
the minimum strike for which the term structure can return vols
Real maxStrike () const
the maximum strike for which the term structure can return vols
template<class Interpolator > void setInterpolation (const Interpolator &i=Interpolator())

void accept (AcyclicVisitor &)

void update ()

Detailed Description

Black volatility curve modelled as variance curve.

This class is similar to BlackVarianceCurve, but extends it to use quotes for the input volatilities.

Author

Generated automatically by Doxygen for QuantLib from the source code.