BlackVarianceSurfaceMoneynessForward Class Reference

#include <qle/termstructures/blackvariancesurfacemoneyness.hpp>

Inheritance diagram for BlackVarianceSurfaceMoneynessForward:

Public Member Functions
	BlackVarianceSurfaceMoneynessForward (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, const Handle< YieldTermStructure > &forTS, const Handle< YieldTermStructure > &domTS, bool stickyStrike=false, bool flatExtrapMoneyness=false)
	BlackVarianceSurfaceMoneynessForward (const Date &referenceDate, 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, const Handle< YieldTermStructure > &forTS, const Handle< YieldTermStructure > &domTS, bool stickyStrike=false, bool flatExtrapMoneyness=false)
	Forward moneyness variance surface with a fixed reference date.
Public Member Functions inherited from BlackVarianceSurfaceMoneyness
	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)
	BlackVarianceSurfaceMoneyness (const Date &referenceDate, 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)
	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_

Detailed Description

Black volatility surface based on forward moneyness

Constructor & Destructor Documentation

BlackVarianceSurfaceMoneynessForward()

BlackVarianceSurfaceMoneynessForward	(	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,
		const Handle< YieldTermStructure > &	forTS,
		const Handle< YieldTermStructure > &	domTS,
		bool	stickyStrike = false,
		bool	flatExtrapMoneyness = false
	)

Moneyness is defined here as forward moneyness, ie K/F