quantlib.termstructures.volatility.equityfx.black_constant_vol.BlackConstantVol

class BlackConstantVol(Date reference_date, Calendar calendar, volatility, DayCounter daycounter, settlement_days=None)

Bases: BlackVolatilityTermStructure

Constant 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)

• volatility (float or Quote)

• day_counter (DayCounter)

• settlement_days (Natural)

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
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)

Attributes

calendar
extrapolation
reference_date
settlement_days