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_date (Date)

• dates (list of Date)

• black_vols (list of Volatility)

• day_counter (DayCounter)

• force_monotone_variance (bool)

__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
max_strike
min_strike
reference_date
settlement_days