BlackVolFromCreditVolWrapper Class Reference

#include <qle/termstructures/creditvolcurve.hpp>

Inheritance diagram for BlackVolFromCreditVolWrapper:

Collaboration diagram for BlackVolFromCreditVolWrapper:

Public Member Functions
	BlackVolFromCreditVolWrapper (const QuantLib::Handle< QuantExt::CreditVolCurve > &vol, const QuantLib::Real underlyingLength)
const QuantLib::Date &	referenceDate () const override
QuantLib::Real	minStrike () const override
QuantLib::Real	maxStrike () const override
QuantLib::Date	maxDate () const override

Private Member Functions
QuantLib::Real	blackVolImpl (QuantLib::Real t, QuantLib::Real strike) const override

Private Attributes
QuantLib::Handle< QuantExt::CreditVolCurve >	vol_
QuantLib::Real	underlyingLength_

Detailed Description

Definition at line 182 of file creditvolcurve.hpp.

Constructor & Destructor Documentation

BlackVolFromCreditVolWrapper()

BlackVolFromCreditVolWrapper ( const QuantLib::Handle< QuantExt::CreditVolCurve > &  vol, const QuantLib::Real  underlyingLength  )

explicit

Definition at line 618 of file creditvolcurve.cpp.

    : BlackVolatilityTermStructure(vol->businessDayConvention(), vol->dayCounter()), vol_(vol),
      underlyingLength_(underlyingLength) {}

Member Function Documentation

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 623 of file creditvolcurve.cpp.

{ return vol_->referenceDate(); }

minStrike()

Real minStrike ( ) const

override

Definition at line 625 of file creditvolcurve.cpp.

{ return vol_->minStrike(); }

maxStrike()

Real maxStrike ( ) const

override

Definition at line 626 of file creditvolcurve.cpp.

{ return vol_->maxStrike(); }

maxDate()

Date maxDate ( ) const

override

Definition at line 627 of file creditvolcurve.cpp.

{ return vol_->maxDate(); }

blackVolImpl()

Real blackVolImpl ( QuantLib::Real  t, QuantLib::Real  strike  ) const

overrideprivate

Definition at line 629 of file creditvolcurve.cpp.

                                                                         {
    return vol_->volatility(t, underlyingLength_, strike, vol_->type());
}

Member Data Documentation

vol_

QuantLib::Handle<QuantExt::CreditVolCurve> vol_

private

Definition at line 194 of file creditvolcurve.hpp.

underlyingLength_

QuantLib::Real underlyingLength_

private

Definition at line 195 of file creditvolcurve.hpp.