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vols.hpp File Reference

Detailed Description

Volatility functions.

Definition in file vols.hpp.

#include <ql/Functions/qlfunctions.hpp>
#include <ql/Math/matrix.hpp>
#include <ql/daycounter.hpp>
#include <vector>

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namespace  QuantLib


Volatility QuantLib::blackVol (const Date &refDate, const DayCounter &dayCounter, const std::vector< Date > &dates, const std::vector< Real > &strikes, const Matrix &blackVolSurface, const Date &date1, const Date &date2, Real strike, Integer interpolation2DType, bool allowExtrapolation)

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