Abstract Black volatility surface based on moneyness (moneyness defined in subclasses) More...
#include <qle/termstructures/blackvariancesurfacemoneyness.hpp>
Public Member Functions | |
BlackVarianceSurfaceMoneyness (const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > ×, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, bool stickyStrike, bool flatExtrapMoneyness=false) | |
BlackVarianceSurfaceMoneyness (const Date &referenceDate, const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > ×, const std::vector< Real > &moneyness, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, bool stickyStrike, bool flatExtrapMoneyness=false) | |
Moneyness variance surface with a fixed reference date. | |
TermStructure interface | |
Date | maxDate () const override |
VolatilityTermStructure interface | |
Real | minStrike () const override |
Real | maxStrike () const override |
Observer interface | |
void | update () override |
LazyObject interface | |
void | performCalculations () const override |
Visitability | |
virtual void | accept (AcyclicVisitor &) override |
Abstract Black volatility surface based on moneyness (moneyness defined in subclasses)
BlackVarianceSurfaceMoneyness | ( | const Calendar & | cal, |
const Handle< Quote > & | spot, | ||
const std::vector< Time > & | times, | ||
const std::vector< Real > & | moneyness, | ||
const std::vector< std::vector< Handle< Quote > > > & | blackVolMatrix, | ||
const DayCounter & | dayCounter, | ||
bool | stickyStrike, | ||
bool | flatExtrapMoneyness = false |
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) |
Moneyness can be defined here as spot moneyness, i.e. K/S or forward moneyness, ie K/F