Black volatility curve modeled as variance curve. More...
#include <qle/termstructures/blackvariancecurve3.hpp>
Visitability | |
virtual void | accept (AcyclicVisitor &) override |
virtual Real | blackVarianceImpl (Time t, Real) const override |
Black volatility curve modeled as variance curve.
This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.
The calculation is performed interpolating on the variance curve. Linear interpolation is used.