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QuantLib: a free/open-source library for quantitative finance
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blackvariancesurface.hpp File Reference

Black volatility surface modelled as variance surface. More...

#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>

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Classes

class  BlackVarianceSurface
 Black volatility surface modelled as variance surface. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Black volatility surface modelled as variance surface.

Definition in file blackvariancesurface.hpp.