CapVolatilityVector Class Reference

#include <ql/Volatilities/capflatvolvector.hpp>

Inheritance diagram for CapVolatilityVector:

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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

CapVolatilityVector const Date todaysDate,
const Calendar calendar,
Integer  settlementDays,
const std::vector< Period > &  lengths,
const std::vector< Volatility > &  volatilities,
const DayCounter dayCounter
 

Deprecated:
use one of the other constructors


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.


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