blackmonotonevarvoltermstructure.hpp File Reference

Black volatility surface that monotonises the variance in an existing surface. More...

#include <ql/math/array.hpp>
#include <ql/math/interpolations/backwardflatinterpolation.hpp>
#include <ql/math/rounding.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

Go to the source code of this file.

Classes
class	BlackMonotoneVarVolTermStructure
	Black volatility surface that monotonises the variance in an existing surface. More...
class	BlackMonotoneVarVolTermStructure::closeDouble

Namespaces
namespace	QuantExt

Detailed Description

Black volatility surface that monotonises the variance in an existing surface.

Definition in file blackmonotonevarvoltermstructure.hpp.