Package org.jquantlib.termstructures

Examples of org.jquantlib.termstructures.BlackVolTermStructure.blackVariance()

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            wpt = bTS.blackVariance(/*@Time*/ (t + dt), strike, true);
            QL.require(wpt >= w , "decreasing variance at strike"); // TODO: message
            dwdt = (wpt - w) / dt;
        } else {
            dt = Math.min(0.0001, t / 2.0);
            wpt = bTS.blackVariance(/*@Time*/ (t + dt), strike, true);
            wmt = bTS.blackVariance(/*@Time*/ (t - dt), strike, true);
            QL.ensure(wpt >= w , "decreasing variance at strike"); // TODO: message
            QL.ensure(w >= wmt , "decreasing variance at strike"); // TODO: message
            dwdt = (wpt - wmt) / (2.0 * dt);
        }
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            QL.require(wpt >= w , "decreasing variance at strike"); // TODO: message
            dwdt = (wpt - w) / dt;
        } else {
            dt = Math.min(0.0001, t / 2.0);
            wpt = bTS.blackVariance(/*@Time*/ (t + dt), strike, true);
            wmt = bTS.blackVariance(/*@Time*/ (t - dt), strike, true);
            QL.ensure(wpt >= w , "decreasing variance at strike"); // TODO: message
            QL.ensure(w >= wmt , "decreasing variance at strike"); // TODO: message
            dwdt = (wpt - wmt) / (2.0 * dt);
        }

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