CapVolatilityVector Class Reference#include <ql/Volatilities/capflatvolvector.hpp>
Inheritance diagram for CapVolatilityVector:
[legend]List of all members.
Detailed Description
Cap/floor at-the-money term-volatility vector.
This class provides the at-the-money volatility for a given cap by interpolating a volatility vector whose elements are the market volatilities of a set of caps/floors with given length.
- Todo:
- either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the length vector but an interpolation pointing to the original ones.
|
Public Member Functions |
| CapVolatilityVector (const Date &todaysDate, const Calendar &calendar, Integer settlementDays, const std::vector< Period > &lengths, const std::vector< Volatility > &volatilities, const DayCounter &dayCounter) |
| CapVolatilityVector (const Date &settlementDate, const std::vector< Period > &lengths, const std::vector< Volatility > &volatilities, const DayCounter &dayCounter) |
| CapVolatilityVector (Integer settlementDays, const Calendar &calendar, const std::vector< Period > &lengths, const std::vector< Volatility > &volatilities, const DayCounter &dayCounter) |
DayCounter | dayCounter () const |
| the day counter used for date/time conversion
|
void | update () |
Constructor & Destructor Documentation
Member Function Documentation
void update |
( |
|
) |
[virtual] |
|
|
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from BaseTermStructure. |
|