SwaptionVolatilityStructure Class Reference

#include <ql/swaptionvolstructure.hpp>

Inheritance diagram for SwaptionVolatilityStructure:

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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.


Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

 SwaptionVolatilityStructure ()
 default constructor
 SwaptionVolatilityStructure (const Date &referenceDate)
 initialize with a fixed reference date
 SwaptionVolatilityStructure (Integer settlementDays, const Calendar &)
 calculate the reference date based on the global evaluation date
Volatility
Volatility volatility (const Date &start, const Period &length, Rate strike, bool extrapolate=false) const
 returns the volatility for a given starting date and length
Volatility volatility (Time start, Time length, Rate strike, bool extrapolate=false) const
 returns the volatility for a given starting time and length
Limits
virtual Date maxStartDate () const =0
 the latest start date for which the term structure can return vols
virtual Time maxStartTime () const
 the latest start time for which the term structure can return vols
virtual Period maxLength () const =0
 the largest length for which the term structure can return vols
virtual Time maxTimeLength () const
 the largest length for which the term structure can return vols
virtual Real minStrike () const =0
 the minimum strike for which the term structure can return vols
virtual Real maxStrike () const =0
 the maximum strike for which the term structure can return vols

Protected Member Functions

virtual Volatility volatilityImpl (Time start, Time length, Rate strike) const =0
 implements the actual volatility calculation in derived classes
virtual std::pair< Time, TimeconvertDates (const Date &start, const Period &length) const
 implements the conversion between dates and times


Constructor & Destructor Documentation

SwaptionVolatilityStructure  ) 
 

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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