quantlib.termstructures.volatility.equityfx.black_constant_vol.
BlackConstantVol¶
- class BlackConstantVol(Date reference_date, Calendar calendar, volatility, DayCounter daycounter, settlement_days=None)¶
Bases:
BlackVolatilityTermStructureConstant Black volatility, no time-strike dependence
This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no time/strike dependence)
- Parameters:
- reference_date
Date - calendar
Calendar - volatilityfloat or
Quote - day_counter: :obj:`DayCounter`
- settlement_days: Natural
- reference_date
- Attributes:
- calendar
- extrapolation
- reference_date
- settlement_days
Methods
blackForwardVariance(self, time_1, time_2, ...)forward (at-the-money) variance
blackForwardVol(self, time_1, time_2, ...)forward (at-the-money) volatility
blackVariance(self, maturity, Real strike, ...)spot variance
blackVol(self, maturity, Real strike, ...)spot volatility
option_date_from_tenor(self, Period period)time_from_reference(self, Date date)