Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

Real QuantLib::BlackVolatilityTermStructure::blackVarianceImpl ( Time  maturity,
Real  strike 
) const [inline, protected, virtual]

Returns the variance for the given strike and date calculating it from the volatility.

Implements QuantLib::BlackVolTermStructure.

Definition at line 362 of file voltermstructure.hpp.

References QuantLib::BlackVolTermStructure::blackVolImpl().

        Volatility vol = blackVolImpl(maturity, strike);
        return vol*vol*maturity;

Generated by  Doxygen 1.6.0   Back to index