quantlib.termstructures.volatility.equityfx.black_vol_term_structure.BlackVolTermStructure

class BlackVolTermStructure

Bases: VolatilityTermStructure

Black-volatility term structure

This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

__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
reference_date
settlement_days

blackForwardVariance(self, time_1, time_2, Real strike, bool extrapolate=False)

forward (at-the-money) variance

blackForwardVol(self, time_1, time_2, Real strike, bool extrapolate=False)

forward (at-the-money) volatility

blackVariance(self, maturity, Real strike, bool extrapolate=False)

spot variance

blackVol(self, maturity, Real strike, bool extrapolate=False)

spot volatility