quantlib.termstructures.volatility.equityfx.black_variance_surface.BlackVarianceSurface

class BlackVarianceSurface(Date reference_date, Calendar cal, list dates, vector[Real] strikes, Matrix black_vol_matrix, DayCounter dc, Extrapolation lower_extrap=Extrapolation.InterpolatorDefaultExtrapolation, Extrapolation upper_extrap=Extrapolation.InterpolatorDefaultExtrapolation)

Bases: BlackVarianceTermStructure

Black volatility surface modelled as variance surface

This class calculates time/strike dependent Black volatilities using as input a matrix of Black volatilities observed in the market.

The calculation is performed interpolating on the variance surface. Bilinear interpolation is used as default; this can be changed by the set_interpolation method.

Parameters:

• reference_date (Date)

• cal (Calendar)

• dates (list of Date)

• strikes (list of floats)

• black_vol_matrix (Matrix)

• dc (DayCounter)

• lower_extrap (Extrapolation)

• upper_extrap (Extrapolation)

__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)
set_interpolation(self, Interpolator i)
time_from_reference(self, Date date)

Attributes

calendar
extrapolation
max_strike
min_strike
reference_date
settlement_days

set_interpolation(self, Interpolator i)