spreadedblackvolatilitysurfacemoneyness.hpp File Reference

Spreaded Black volatility surface based on moneyness. More...

#include <ql/math/interpolation.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>

Go to the source code of this file.

Classes
class	SpreadedBlackVolatilitySurfaceMoneyness
	Abstract Spreaded Black volatility surface based on moneyness (moneyness defined in subclasses) More...
class	SpreadedBlackVolatilitySurfaceMoneynessSpot
	Spreaded Black volatility surface based on spot moneyness. More...
class	SpreadedBlackVolatilitySurfaceMoneynessForward
	Black volatility surface based on forward moneyness. More...
class	SpreadedBlackVolatilitySurfaceLogMoneynessSpot
	Spreaded Black volatility surface based on spot log moneyness. More...
class	SpreadedBlackVolatilitySurfaceLogMoneynessForward
	Black volatility surface based on forward log moneyness. More...
class	SpreadedBlackVolatilitySurfaceStdDevs
	Black volatility surface based on std devs (standardised log moneyness) More...
class	SpreadedBlackVolatilitySurfaceMoneynessSpotAbsolute
	Spreaded Black volatility surface based on absolute spot moneyness. More...
class	SpreadedBlackVolatilitySurfaceMoneynessForwardAbsolute
	Spreaded Black volatility surface based on absolute forward moneyness. More...

Namespaces
namespace	QuantExt

Detailed Description

Spreaded Black volatility surface based on moneyness.

Definition in file spreadedblackvolatilitysurfacemoneyness.hpp.