Class implements flat volatility.
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#include <flatVolatility.hpp>
Class implements flat volatility.
Flat volatility surface is a volatility with no tenor- nor strike- dependencies. It returns the same volatility level for every strike or tenor.
- Examples:
- optionPricingExample.cpp.
| void julian::FlatVolatility::bumpVolatility |
( |
double |
input | ) |
|
|
overridevirtual |
| Date julian::FlatVolatility::getDate |
( |
| ) |
const |
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overridevirtual |
| double julian::FlatVolatility::getVariance |
( |
double |
K, |
|
|
Date |
T |
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) |
| const |
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overridevirtual |
| double julian::FlatVolatility::getVariance |
( |
double |
K, |
|
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double |
T |
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) |
| const |
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overridevirtual |
| double julian::FlatVolatility::getVolatility |
( |
double |
K, |
|
|
Date |
T |
|
) |
| const |
|
overridevirtual |
Returns volatility. The same value is returned regardless of the given arguments.
Implements julian::Volatility.
| double julian::FlatVolatility::getVolatility |
( |
double |
K, |
|
|
double |
T |
|
) |
| const |
|
overridevirtual |
Returns volatility. The same value is returned regardless of the given arguments.
Implements julian::Volatility.
| double julian::FlatVolatility::getYearFraction |
( |
Date |
d1, |
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|
Date |
d2 |
|
) |
| const |
|
overridevirtual |
Calculates year fraction.
This methods calculates the year fraction between two dates. The year fraction convention is defined during the construction of interest rate object.
Implements julian::Volatility.
| std::string julian::FlatVolatility::info |
( |
| ) |
const |
|
overridevirtual |
Overloads stream operator.
This overloaded operator enables to print the curve on the console.
| Date julian::FlatVolatility::date_ |
|
private |
represent the date on which the curve is valid
| double julian::FlatVolatility::volatility_ |
|
private |
Year fraction convention.
The documentation for this class was generated from the following files:
- C:/Unix/home/OEM/jULIAN/src/marketData/volatility/flatVolatility.hpp
- C:/Unix/home/OEM/jULIAN/src/marketData/volatility/flatVolatility.cpp
Public Member Functions inherited from julian::Volatility![\[variance = yearFraction(today, T) \times volatility^{2}\]](form_90.png)
![\[variance = T *\times volatility^{2}\]](form_91.png)
