25#ifndef quantlib_black_atm_vol_curve_hpp
26#define quantlib_black_atm_vol_curve_hpp
70 bool extrapolate =
false)
const;
73 bool extrapolate =
false)
const;
76 bool extrapolate =
false)
const;
79 bool extrapolate =
false)
const;
82 bool extrapolate =
false)
const;
85 bool extrapolate =
false)
const;
degenerate base class for the Acyclic Visitor pattern
Black at-the-money (no-smile) volatility curve.
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
~BlackAtmVolCurve() override=default
Real atmVariance(const Period &optionTenor, bool extrapolate=false) const
spot at-the-money variance
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
Volatility term structure.
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility
degenerate base class for the Acyclic Visitor pattern
Volatility term structure.