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blackvariancesurface.hpp
Langue: en
Version: 377762 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/termstructures/volatility/equityfx/blackvariancesurface.hpp -Black volatility surface modelled as variance surface.
SYNOPSIS
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
Classes
class BlackVarianceSurface
Black volatility surface modelled as variance surface.
Detailed Description
Black volatility surface modelled as variance surface.
Author
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