CapVolatilityStructure Class Reference

#include <ql/capvolstructures.hpp>

Inheritance diagram for CapVolatilityStructure:

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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.


Public Member Functions

virtual DayCounter dayCounter () const =0
 the day counter used for date/time conversion
Constructors
See the BaseTermStructure documentation for issues regarding constructors.

 CapVolatilityStructure ()
 default constructor
 CapVolatilityStructure (const Date &today, const Date &referenceDate)
 initialize with a fixed today and reference date
 CapVolatilityStructure (const Date &referenceDate)
 initialize with a fixed reference date
 CapVolatilityStructure (Integer settlementDays, const Calendar &)
 calculate the reference date based on the global evaluation date
Volatility
Volatility volatility (const Date &end, Rate strike) const
Volatility volatility (const Period &length, Rate strike) const
 returns the volatility for a given cap/floor length and strike rate
Volatility volatility (Time t, Rate strike) const
 returns the volatility for a given end time and strike rate

Protected Member Functions

virtual Volatility volatilityImpl (Time length, Rate strike) const =0
 implements the actual volatility calculation in derived classes


Constructor & Destructor Documentation

CapVolatilityStructure  ) 
 

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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