20#include <ql/experimental/volatility/blackatmvolcurve.hpp>
41 bool extrapolate)
const {
43 return atmVol(d, extrapolate);
47 bool extrapolate)
const {
49 return atmVol(t, extrapolate);
53 bool extrapolate)
const {
59 bool extrapolate)
const {
65 bool extrapolate)
const {
71 bool extrapolate)
const {
81 QL_FAIL(
"not a BlackAtmVolCurve visitor");
degenerate base class for the Acyclic Visitor pattern
Volatility atmVol(const Period &optionTenor, bool extrapolate=false) const
spot at-the-money volatility
virtual void accept(AcyclicVisitor &)
virtual Volatility atmVolImpl(Time t) const =0
spot at-the-money volatility calculation
virtual Real atmVarianceImpl(Time t) const =0
spot at-the-money variance calculation
Real atmVariance(const Period &optionTenor, bool extrapolate=false) const
spot at-the-money variance
BlackAtmVolCurve(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
Time timeFromReference(const Date &date) const
date/time conversion
void checkRange(const Date &d, bool extrapolate) const
date-range check
Visitor for a specific class
virtual void visit(T &)=0
Volatility term structure.
Date optionDateFromTenor(const Period &) const
period/date conversion
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility