BlackConstantVol Class Reference

Constant Black volatility, no time-strike dependence. More...

#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>

Inheritance diagram for BlackConstantVol:

Collaboration diagram for BlackConstantVol:

Public Member Functions
	BlackConstantVol (const Date &referenceDate, const Calendar &, Volatility volatility, const DayCounter &dayCounter)
	BlackConstantVol (const Date &referenceDate, const Calendar &, Handle< Quote > volatility, const DayCounter &dayCounter)
	BlackConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)
	BlackConstantVol (Natural settlementDays, const Calendar &, Handle< Quote > volatility, const DayCounter &dayCounter)
TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values More...
VolatilityTermStructure interface
Real	minStrike () const override
	the minimum strike for which the term structure can return vols More...
Real	maxStrike () const override
	the maximum strike for which the term structure can return vols More...
Public Member Functions inherited from BlackVolatilityTermStructure
	BlackVolatilityTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor More...
	BlackVolatilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...
	BlackVolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...
void	accept (AcyclicVisitor &) override
Public Member Functions inherited from BlackVolTermStructure
	BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	default constructor More...
	BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...
	BlackVolTermStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...
	~BlackVolTermStructure () override=default
Volatility	blackVol (const Date &maturity, Real strike, bool extrapolate=false) const
	spot volatility More...
Volatility	blackVol (Time maturity, Real strike, bool extrapolate=false) const
	spot volatility More...
Real	blackVariance (const Date &maturity, Real strike, bool extrapolate=false) const
	spot variance More...
Real	blackVariance (Time maturity, Real strike, bool extrapolate=false) const
	spot variance More...
Volatility	blackForwardVol (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
	forward (at-the-money) volatility More...
Volatility	blackForwardVol (Time time1, Time time2, Real strike, bool extrapolate=false) const
	forward (at-the-money) volatility More...
Real	blackForwardVariance (const Date &date1, const Date &date2, Real strike, bool extrapolate=false) const
	forward (at-the-money) variance More...
Real	blackForwardVariance (Time time1, Time time2, Real strike, bool extrapolate=false) const
	forward (at-the-money) variance More...
Public Member Functions inherited from VolatilityTermStructure
	VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...
	VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...
virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion More...
Date	optionDateFromTenor (const Period &) const
	period/date conversion More...
Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...
	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...
	~TermStructure () override=default
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...
Time	timeFromReference (const Date &date) const
	date/time conversion More...
virtual Time	maxTime () const
	the latest time for which the curve can return values More...
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...
virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation More...
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation More...
void	update () override
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
	Extrapolator ()=default
virtual	~Extrapolator ()=default
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

Visitability
Handle< Quote >	volatility_
void	accept (AcyclicVisitor &) override
Volatility	blackVolImpl (Time t, Real) const override
	Black volatility calculation. More...

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from BlackVolatilityTermStructure
Real	blackVarianceImpl (Time maturity, Real strike) const override
Calculations
These methods must be implemented in derived classes to perform the actual volatility calculations. When they are called, range check has already been performed; therefore, they must assume that extrapolation is required.
Protected Member Functions inherited from VolatilityTermStructure
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check More...
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...
void	checkRange (Time t, bool extrapolate) const
	time-range check More...
Protected Attributes inherited from TermStructure
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

Constant Black volatility, no time-strike dependence.

This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence).

Definition at line 40 of file blackconstantvol.hpp.

Constructor & Destructor Documentation

BlackConstantVol() [1/4]

BlackConstantVol	(	const Date &	referenceDate,
		const Calendar &	cal,
		Volatility	volatility,
		const DayCounter &	dayCounter
	)

Definition at line 81 of file blackconstantvol.hpp.

BlackConstantVol() [2/4]

BlackConstantVol	(	const Date &	referenceDate,
		const Calendar &	cal,
		Handle< Quote >	volatility,
		const DayCounter &	dayCounter
	)

Definition at line 88 of file blackconstantvol.hpp.

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BlackConstantVol() [3/4]

BlackConstantVol	(	Natural	settlementDays,
		const Calendar &	cal,
		Volatility	volatility,
		const DayCounter &	dayCounter
	)

Definition at line 97 of file blackconstantvol.hpp.

BlackConstantVol() [4/4]

BlackConstantVol	(	Natural	settlementDays,
		const Calendar &	cal,
		Handle< Quote >	volatility,
		const DayCounter &	dayCounter
	)

Definition at line 104 of file blackconstantvol.hpp.

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Member Function Documentation

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 113 of file blackconstantvol.hpp.

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minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 117 of file blackconstantvol.hpp.

maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

Definition at line 121 of file blackconstantvol.hpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BlackVolTermStructure.

Definition at line 125 of file blackconstantvol.hpp.

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blackVolImpl()

Volatility blackVolImpl ( Time  t, Real  strike  ) const

overrideprotectedvirtual

Black volatility calculation.

Implements BlackVolTermStructure.

Definition at line 133 of file blackconstantvol.hpp.

Member Data Documentation

volatility_

Handle<Quote> volatility_

private

Definition at line 75 of file blackconstantvol.hpp.