CapletVolatilityStructure Class Reference

#include <ql/capvolstructures.hpp>

Inheritance diagram for CapletVolatilityStructure:

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List of all members.

Detailed Description

Caplet/floorlet forward-volatility structure.

This class is purely abstract and defines the interface of concrete structures which will be derived from this one.


Public Member Functions

Volatility and Variance
Volatility volatility (const Date &start, Rate strike, bool extrapolate=false) const
 returns the volatility for a given start date and strike rate
Volatility volatility (Time t, Rate strike, bool extrapolate=false) const
 returns the volatility for a given start time and strike rate
Real blackVariance (const Date &start, Rate strike, bool extrapolate=false) const
 returns the black variance for a given start date and strike rate
Real blackVariance (Time t, Rate strike, bool extrapolate=false) const
 returns the black variance for a given start time and strike rate
Limits
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 length, Rate strike) const=0
 implements the actual volatility calculation in derived classes


Constructor & Destructor Documentation

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.