- QuantLib
- ImpliedVolTermStructure
Implied vol term structure at a given date in the future. More...
#include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp>

Public Member Functions | |
| ImpliedVolTermStructure (const Handle< BlackVolTermStructure > &origTS, const Date &referenceDate) | |
TermStructure interface | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
VolatilityTermStructure interface | |
| Real | minStrike () const |
| the minimum strike for which the term structure can return vols | |
| Real | maxStrike () const |
| the maximum strike for which the term structure can return vols | |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
| virtual Real | blackVarianceImpl (Time t, Real strike) const |
| Black variance calculation. | |
Implied vol term structure at a given date in the future.
The given date will be the implied reference date.