Wrapper class for a BlackVolTermStructure when using proxy vols. More...
#include <boost/shared_ptr.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <qle/termstructures/correlationtermstructure.hpp>
#include <qle/indexes/equityindex.hpp>
#include <qle/indexes/fxindex.hpp>
Classes | |
class | BlackVolatilitySurfaceProxy |
Wrapper class for a BlackVolTermStructure that allows us to proxy one equity vol surface off another. More... | |
Wrapper class for a BlackVolTermStructure when using proxy vols.