blackvariancesurfacesparse.hpp File Reference

Black volatility surface modeled as variance surface. More...

#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <qle/interpolators/optioninterpolator2d.hpp>

Go to the source code of this file.

Classes
class	BlackVarianceSurfaceSparse

Namespaces
namespace	QuantExt

Detailed Description

Black volatility surface modeled as variance surface.

Definition in file blackvariancesurfacesparse.hpp.