#include <qle/termstructures/blackvariancesurfacestddevs.hpp>
Public Member Functions | |
BlackVarianceSurfaceStdDevs (const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > ×, const std::vector< Real > &stdDevs, const std::vector< std::vector< Handle< Quote > > > &blackVolMatrix, const DayCounter &dayCounter, const boost::shared_ptr< EqFxIndexBase > &index, bool stickyStrike=false, bool flatExtrapMoneyness=false) | |
Public Member Functions inherited from BlackVarianceSurfaceMoneyness | |
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. | |
Date | maxDate () const override |
Real | minStrike () const override |
Real | maxStrike () const override |
void | update () override |
void | performCalculations () const override |
virtual void | accept (AcyclicVisitor &) override |
std::vector< QuantLib::Real > | moneyness () const |
Additional Inherited Members | |
Protected Member Functions inherited from BlackVarianceSurfaceMoneyness | |
Protected Attributes inherited from BlackVarianceSurfaceMoneyness | |
bool | stickyStrike_ |
Handle< Quote > | spot_ |
std::vector< Time > | times_ |
std::vector< Real > | moneyness_ |
bool | flatExtrapMoneyness_ |
Black volatility surface based on forward moneyness