CapVolatilityStructure Class Reference#include <ql/capvolstructures.hpp>
Inheritance diagram for CapVolatilityStructure:
[legend]List of all members.
Detailed Description
Cap/floor term-volatility structure.
This class is purely abstract and defines the interface of concrete 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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| CapVolatilityStructure () |
| default constructor
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| CapVolatilityStructure (const Date &referenceDate) |
| initialize with a fixed reference date
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| CapVolatilityStructure (Integer settlementDays, const Calendar &) |
| calculate the reference date based on the global evaluation date
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Volatility | volatility (const Date &end, Rate strike, bool extrapolate=false) const |
Volatility | volatility (const Period &length, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given cap/floor length and strike rate
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Volatility | volatility (Time t, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given end time and strike rate
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virtual Date | maxDate () const =0 |
| the latest date for which the term structure can return vols
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virtual Time | maxTime () const |
| the latest time 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 length, Rate strike) const =0 |
| implements the actual volatility calculation in derived classes
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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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