Examples of org.jquantlib.termstructures.volatilities.BlackConstantVol.blackForwardVariance()


        //Calculating blackVariance
        System.out.println("BlackVariance = "+constantVolatility.blackVariance(date10.clone(), 20));


        //Calculating blackForwardVariance
        System.out.println("BlackForwardVariance = "+constantVolatility.blackForwardVariance(date10.clone(), date15.clone(), 20, true));


        //As BlackConstantVol termstructure has been initialized using relinkable handle so lets change the observable SimpleQuote of this handle
        //and see the change getting reflected to all the calculations done above.
        volatilityQuote.setValue(0.04) ;
        constantVolatility = new BlackConstantVol(2,new UnitedStates(Market.NYSE),handleToVolatilityQuote, new Actual365Fixed());


        //Calculating blackVariance
        System.out.println("BlackVariance = "+constantVolatility.blackVariance(date10.clone(), 20));


        //Calculating blackForwardVariance
        System.out.println("BlackForwardVariance = "+constantVolatility.blackForwardVariance(date10.clone(), date15.clone(), 20, true));


        System.out.println("//===============================BlackVarianceCurve================================");


        //Let's create black variance curve and calculate volatilities/variances by interpolating on
        //the created curve for a given strike.

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