quantlib.termstructures.volatility.equityfx.black_variance_curve.

BlackVarianceCurve

class BlackVarianceCurve(Date reference_date, list dates, vector[Volatility] black_vols, DayCounter day_counter, bool force_monotone_variance=True)

Bases: BlackVarianceTermStructure

Black volatility curve modelled as variance curve

This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities observed in the market.

The calculation is performed interpolating on the variance curve. Linear interpolation is used as default; this can be changed by the set_interpolation() method.

For strike dependence, see BlackVarianceSurface.

Parameters:

reference_dateDate

dateslist of Date

black_volslist of Volatility

day_counter: DayCounter

force_monotone_variance: bool

Attributes:

calendar

extrapolation

max_strike

min_strike

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)