Black volatility surface that monotonises the variance in an existing surface. More...
#include <ql/math/array.hpp>
#include <ql/math/interpolations/backwardflatinterpolation.hpp>
#include <ql/math/rounding.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
Classes | |
class | BlackMonotoneVarVolTermStructure |
Black volatility surface that monotonises the variance in an existing surface. More... | |
Black volatility surface that monotonises the variance in an existing surface.