Black volatility surface that monotonises the variance in an existing surface. More...

#include <qle/termstructures/blackmonotonevarvoltermstructure.hpp>

Inheritance diagram for BlackMonotoneVarVolTermStructure:

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

Visitability
virtual void	accept (AcyclicVisitor &) override

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

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

void	setMonotoneVar (const Real &strike) const

Real	getMonotoneVar (const Time &t, const Real &strike) const

Detailed Description

Black volatility surface that monotonises the variance in an existing surface.

This class is used when monotonic variance is required

    \ingroup termstructures

Constructor & Destructor Documentation

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