CapletForwardVolatilityStructure Class Reference#include <ql/capvolstructures.hpp>
Inheritance diagram for CapletForwardVolatilityStructure:
[legend]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.
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Public Member Functions |
virtual Date | todaysDate () const=0 |
| returns today's date
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virtual Date | settlementDate () const=0 |
| returns the settlement date
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virtual DayCounter | dayCounter () const=0 |
| returns the day counter used for internal date/time conversions
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double | volatility (const Date &start, Rate strike) const |
| returns the volatility for a given start date and strike rate
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double | volatility (Time t, Rate strike) const |
| returns the volatility for a given start time and strike rate
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Protected Member Functions |
virtual double | volatilityImpl (Time length, Rate strike) const=0 |
| implements the actual volatility calculation in derived classes
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