BlackVolatilityConstantSpread Class Reference

Cube that combines an ATM matrix and vol spreads from a cube. More...

#include <qle/termstructures/blackvolconstantspread.hpp>

Inheritance diagram for BlackVolatilityConstantSpread:

Public Member Functions
	BlackVolatilityConstantSpread (const Handle< BlackVolTermStructure > &atm, const Handle< BlackVolTermStructure > &surface)
TermStructure interface
DayCounter	dayCounter () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override

VolatilityTermStructure interface
Rate	minStrike () const override
Rate	maxStrike () const override
void	deepUpdate () override
Volatility	blackVolImpl (Time t, Rate strike) const override
Real	blackVarianceImpl (Time t, Real strike) const override

Detailed Description

Cube that combines an ATM matrix and vol spreads from a cube.

Notice that the TS has a floating reference date and accesses the source TS only via their time-based volatility methods.

Warning:

the given atm vol structure should be strike independent, this is not checked