BlackConstantVol Class Reference
Constant Black volatility, no time-strike dependence. More...
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
Inheritance diagram for BlackConstantVol:
Public Member Functions | |
| BlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter) | |
| BlackConstantVol (const Date &referenceDate, const Calendar &, Handle< Quote > volatility, const DayCounter &dayCounter) | |
| BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) | |
| BlackConstantVol (Natural settlementDays, const Calendar &, Handle< Quote > volatility, const DayCounter &dayCounter) | |
TermStructure interface | |
| Date | maxDate () const override |
| the latest date for which the curve can return values | |
VolatilityTermStructure interface | |
| Real | minStrike () const override |
| the minimum strike for which the term structure can return vols | |
| Real | maxStrike () const override |
| the maximum strike for which the term structure can return vols | |
| Public Member Functions inherited from BlackVolatilityTermStructure | |
| BlackVolatilityTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor | |
| BlackVolatilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| BlackVolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| void | accept (AcyclicVisitor &) override |
| Public Member Functions inherited from BlackVolTermStructure | |
| BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor | |
| BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| Volatility | blackVol (const Date &maturity, Real strike, bool extrapolate=false) const |
| spot volatility | |
| Volatility | blackVol (Time maturity, Real strike, bool extrapolate=false) const |
| spot volatility | |
| Real | blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const |
| spot variance | |
| Real | blackVariance (Time maturity, Real strike, bool extrapolate=false) const |
| spot variance | |
| Volatility | blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) volatility | |
| Volatility | blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) volatility | |
| Real | blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) variance | |
| Real | blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const |
| forward (at-the-money) variance | |
| VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| virtual BusinessDayConvention | businessDayConvention () const |
| the business day convention used in tenor to date conversion | |
| Date | optionDateFromTenor (const Period &) const |
| period/date conversion | |
| Public Member Functions inherited from TermStructure | |
| TermStructure (DayCounter dc=DayCounter()) | |
| default constructor | |
| TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter()) | |
| initialize with a fixed reference date | |
| TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| virtual DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Time | timeFromReference (const Date &date) const |
| date/time conversion | |
| virtual Time | maxTime () const |
| the latest time for which the curve can return values | |
| virtual const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 | |
| virtual Calendar | calendar () const |
| the calendar used for reference and/or option date calculation | |
| virtual Natural | settlementDays () const |
| the settlementDays used for reference date calculation | |
| void | update () override |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| void | notifyObservers () |
| Public Member Functions inherited from Extrapolator | |
| void | enableExtrapolation (bool b=true) |
| enable extrapolation in subsequent calls | |
| void | disableExtrapolation (bool b=true) |
| disable extrapolation in subsequent calls | |
| bool | allowsExtrapolation () const |
| tells whether extrapolation is enabled | |
Visitability | |
| void | accept (AcyclicVisitor &) override |
| Volatility | blackVolImpl (Time t, Real) const override |
| Black volatility calculation. | |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Real | blackVarianceImpl (Time maturity, Real strike) const override |
| Protected Member Functions inherited from BlackVolTermStructure | |
| void | checkStrike (Rate strike, bool extrapolate) const |
| strike-range check | |
| void | checkRange (const Date &d, bool extrapolate) const |
| date-range check | |
| void | checkRange (Time t, bool extrapolate) const |
| time-range check | |
| bool | moving_ = false |
| bool | updated_ = true |
| Calendar | calendar_ |
Detailed Description
Constant Black volatility, no time-strike dependence.
This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence).
Member Function Documentation
◆ maxDate()
|
overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
◆ minStrike()
|
overridevirtual |
the minimum strike for which the term structure can return vols
Implements VolatilityTermStructure.
◆ maxStrike()
|
overridevirtual |
the maximum strike for which the term structure can return vols
Implements VolatilityTermStructure.
◆ accept()
|
overridevirtual |
Reimplemented from BlackVolTermStructure.
◆ blackVolImpl()
|
overrideprotectedvirtual |
Black volatility calculation.
Implements BlackVolTermStructure.
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