Class BlackVarianceCurve

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

A Black volatility curve modelled as a variance curve: the market's at-the-money Black volatilities at a set of dates, interpolated on their variances, linearly by default. For strike dependence, see BlackVarianceSurface.

public sealed class BlackVarianceCurve : BlackVarianceTermStructure

Inheritance

object

Extrapolator

TermStructure

VolatilityTermStructure

BlackVolTermStructure

BlackVarianceTermStructure

BlackVarianceCurve

Inherited Members

BlackVolTermStructure.BlackVol(Date, double, bool)

BlackVolTermStructure.BlackVol(double, double, bool)

BlackVolTermStructure.BlackVariance(Date, double, bool)

BlackVolTermStructure.BlackVariance(double, double, bool)

BlackVolTermStructure.BlackForwardVol(Date, Date, double, bool)

BlackVolTermStructure.BlackForwardVol(double, double, double, bool)

BlackVolTermStructure.BlackForwardVariance(Date, Date, double, bool)

BlackVolTermStructure.BlackForwardVariance(double, double, double, bool)

BlackVolTermStructure.AtmLevel(double)

BlackVolTermStructure.SmileSection(Date, bool)

BlackVolTermStructure.SmileSection(double, bool)

VolatilityTermStructure.OptionDateFromTenor(Period)

VolatilityTermStructure.BusinessDayConvention

TermStructure.TimeFromReference(Date)

TermStructure.ReferenceDate

TermStructure.DayCounter

TermStructure.Calendar

TermStructure.SettlementDays

TermStructure.MaxTime

Extrapolator.AllowsExtrapolation

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

ExtrapolatorExtensions.DisableExtrapolation<T>(T, bool)

ExtrapolatorExtensions.EnableExtrapolation<T>(T, bool)

Remarks

SetInterpolation<TInterpolator>(TInterpolator) returns a copy re-interpolated with another interpolator; the curve it is called on is unchanged, where QuantLib's re-interpolates the curve itself and notifies its observers.

Constructors

BlackVarianceCurve(Date, IEnumerable<Date>, IEnumerable<double>, DayCounter, bool, BlackVolTimeExtrapolationType)

Initializes a new instance of the BlackVarianceCurve class.

public BlackVarianceCurve(Date referenceDate, IEnumerable<Date> dates, IEnumerable<double> blackVolCurve, DayCounter dayCounter, bool forceMonotoneVariance = true, BlackVolTimeExtrapolationType timeExtrapolationType = BlackVolTimeExtrapolationType.FlatVolatility)

Parameters

referenceDate Date

The reference date.

dates IEnumerable<Date>

The dates of the volatilities, after the reference date and sorted.

blackVolCurve IEnumerable<double>

The at-the-money Black volatility at each date.

dayCounter DayCounter

The day counter.

forceMonotoneVariance bool

Whether the variances must be non-decreasing.

timeExtrapolationType BlackVolTimeExtrapolationType

How the curve extrapolates beyond its last date.

Remarks

QuantLib reads dates.back() of an empty list before its checks (blackvariancecurve.cpp:35), which is undefined; nanoql refuses no dates first.

Exceptions

ArgumentNullException

dates, blackVolCurve or dayCounter is null.

ArgumentOutOfRangeException

timeExtrapolationType isn't a member of its type.

ArgumentException

No dates are given; the dates and volatilities differ in number; the first date isn't after the reference date; the dates aren't sorted and unique; or a forced monotone variance decreases.

Properties

MaxDate

Gets the latest date for which the curve can return values.

public override Date MaxDate { get; }

Property Value

Date

Methods

BlackVarianceImpl(double, double)

The variance at a time and strike, the range already checked; it must extrapolate.

protected override double BlackVarianceImpl(double t, double strike)

Parameters

t double

The time.

strike double

The strike.

Returns

double

The variance.

MaxStrike()

The maximum strike for which the structure returns values.

public override double MaxStrike()

Returns

double

The strike.

MinStrike()

The minimum strike for which the structure returns values.

public override double MinStrike()

Returns

double

The strike.

SetInterpolation<TInterpolator>(TInterpolator)

A copy of the curve whose variances are interpolated by another interpolator.

public BlackVarianceCurve SetInterpolation<TInterpolator>(TInterpolator interpolator = default) where TInterpolator : struct, IInterpolator

Parameters

interpolator TInterpolator

The interpolator's settings.

Returns

BlackVarianceCurve

A new curve; this one is unchanged.

Type Parameters

TInterpolator

The interpolator.

Exceptions

ArgumentException

The interpolator can't interpolate the curve's points.