SwaptionVolatilityStructure Class Reference#include <ql/swaptionvolstructure.hpp>
Inheritance diagram for SwaptionVolatilityStructure:
[legend]List of all members.
Detailed Description
Swaption-volatility structure
This class is purely abstract and defines the interface of concrete swaption volatility structures which will be derived from this one.
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Public Member Functions |
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See the TermStructure documentation for issues regarding constructors.
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| SwaptionVolatilityStructure () |
| default constructor
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| SwaptionVolatilityStructure (const Date &referenceDate) |
| initialize with a fixed reference date
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| SwaptionVolatilityStructure (Integer settlementDays, const Calendar &) |
| calculate the reference date based on the global evaluation date
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Volatility | volatility (const Date &start, const Period &length, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given starting date and length
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Volatility | volatility (Time start, Time length, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given starting time and length
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virtual Date | maxStartDate () const =0 |
| the latest start date for which the term structure can return vols
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virtual Time | maxStartTime () const |
| the latest start time for which the term structure can return vols
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virtual Period | maxLength () const =0 |
| the largest length for which the term structure can return vols
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virtual Time | maxTimeLength () const |
| the largest length for which the term structure can return vols
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virtual Real | minStrike () const =0 |
| the minimum strike for which the term structure can return vols
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virtual Real | maxStrike () const =0 |
| the maximum strike for which the term structure can return vols
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Protected Member Functions |
virtual Volatility | volatilityImpl (Time start, Time length, Rate strike) const =0 |
| implements the actual volatility calculation in derived classes
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virtual std::pair< Time, Time > | convertDates (const Date &start, const Period &length) const |
| implements the conversion between dates and times
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Constructor & Destructor Documentation
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default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
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