blackvolsurfaceproxy.hpp File Reference

Wrapper class for a BlackVolTermStructure when using proxy vols. More...

#include <ql/shared_ptr.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <qle/termstructures/correlationtermstructure.hpp>
#include <qle/indexes/equityindex.hpp>
#include <qle/indexes/fxindex.hpp>

Go to the source code of this file.

Classes
class	BlackVolatilitySurfaceProxy
	Wrapper class for a BlackVolTermStructure that allows us to proxy one equity vol surface off another. More...

Namespaces
namespace	QuantExt

Detailed Description

Wrapper class for a BlackVolTermStructure when using proxy vols.

Definition in file blackvolsurfaceproxy.hpp.