BlackVarianceSurfaceStdDevs Class Reference

#include <qle/termstructures/blackvariancesurfacestddevs.hpp>

Inheritance diagram for BlackVarianceSurfaceStdDevs:

Public Member Functions
	BlackVarianceSurfaceStdDevs (const Calendar &cal, const Handle< Quote > &spot, const std::vector< Time > &times, 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 > &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

Static Public Member Functions
static void	populateVolMatrix (const QuantLib::Handle< QuantLib::BlackVolTermStructure > &termStructre, std::vector< std::vector< Handle< QuantLib::Quote > > > &quotesToPopulate, const std::vector< Real > &times, const std::vector< Real > &stdDevPoints, const QuantLib::Interpolation &forwardCurve, const QuantLib::Interpolation atmVolCurve)

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