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_dateDate
- calCalendar
- dateslist of Date
- strikeslist of floats
- black_vol_matrixMatrix
- dcDayCounter
- lower_extrapExtrapolation
- upper_extrapExtrapolation
- 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)set_interpolation
(self, Interpolator i)time_from_reference
(self, Date date)