Black volatility surface that monotonises the variance in an existing surface. More...
#include <qle/termstructures/blackmonotonevarvoltermstructure.hpp>
Public Member Functions | |
BlackMonotoneVarVolTermStructure (const Handle< BlackVolTermStructure > &vol, const std::vector< Time > &timePoints) | |
Constructor takes a BlackVolTermStructure and an array of time points which required monotonic variance. More... | |
const Handle< BlackVolTermStructure > & | underlyingVol () const |
return the underlying vol surface | |
TermStructure interface | |
const Date & | referenceDate () const override |
Date | maxDate () const override |
Natural | settlementDays () const override |
Calendar | calendar () const override |
Observer interface | |
void | update () override |
VolatilityTermStructure interface | |
Real | minStrike () const override |
Real | maxStrike () const override |
Black volatility surface that monotonises the variance in an existing surface.
This class is used when monotonic variance is required
\ingroup termstructures
BlackMonotoneVarVolTermStructure | ( | const Handle< BlackVolTermStructure > & | vol, |
const std::vector< Time > & | timePoints | ||
) |
Constructor takes a BlackVolTermStructure and an array of time points which required monotonic variance.
This will work with both a floating and fixed reference date underlying surface, since we are reimplementing the reference date and update methods