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_dateDate

calendarCalendar

volatilityfloat or Quote

day_counter: :obj:`DayCounter`

settlement_days: Natural

Attributes:

calendar

Calendar: calendar

day_counter

DayCounter: day counter

extrapolation

max_date

Date: the latest date for which the curve can return values

max_time

Time: the latest time for which the curve can return values

reference_date

Date: the date at which discount = 1.0 and/or variance = 0.0

settlement_days

int: number of settlement days used for reference date calculation

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 dt)	date/time conversion