Spreaded Black volatility curve modeled as variance curve. More...

#include <qle/termstructures/spreadedblackvolatilitycurve.hpp>

Inheritance diagram for SpreadedBlackVolatilityCurve:

Public Member Functions
	SpreadedBlackVolatilityCurve (const Handle< BlackVolTermStructure > &referenceVol, const std::vector< Time > &times, const std::vector< Handle< Quote >> &volSpreads, const bool useAtmReferenceVolsOnly=false)

Date	maxDate () const override

const Date &	referenceDate () const override

Calendar	calendar () const override

Natural	settlementDays () const override

Real	minStrike () const override

Real	maxStrike () const override

void	update () override

Detailed Description

Spreaded Black volatility curve modeled as variance curve.

Constructor & Destructor Documentation

SpreadedBlackVolatilityCurve	(	const Handle< BlackVolTermStructure > &	referenceVol,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote >> &	volSpreads,
		const bool	useAtmReferenceVolsOnly = `false`
	)

times should be consistent with reference ts day counter
if useAtmReferenceVolsOnly, only vols with strike Null<Real>() are read from the referenceVol, otherwise the full reference vol surface (if it is one) is used