Black volatility surface that inverts an existing surface. More...

#include <qle/termstructures/blackinvertedvoltermstructure.hpp>

Inheritance diagram for BlackInvertedVolTermStructure:

Public Member Functions
	BlackInvertedVolTermStructure (const Handle< BlackVolTermStructure > &vol)
	Constructor takes a BlackVolTermStructure and takes everything from that. 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

Visitability
virtual void	accept (AcyclicVisitor &) override

Real	invertedStrike (Real strike) const

virtual Real	blackVarianceImpl (Time t, Real strike) const override

virtual Volatility	blackVolImpl (Time t, Real strike) const override

Detailed Description

Black volatility surface that inverts an existing surface.

This class is used when one wants a USD/EUR volatility, at a given USD/EUR strike when only a EUR/USD volatility surface is present.

    \ingroup termstructures

Constructor & Destructor Documentation

BlackInvertedVolTermStructure ( const Handle< BlackVolTermStructure > & vol )

Constructor takes a BlackVolTermStructure and takes everything from that.

This will work with both a floating and fixed reference date underlying surface, since we are reimplementing the reference date and update methods