CapletConstantVolatility Class Reference#include <ql/Volatilities/capletconstantvol.hpp>
Inheritance diagram for CapletConstantVolatility:
[legend]List of all members.
Detailed Description
Constant caplet volatility, no time-strike dependence.
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Public Member Functions |
| CapletConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) |
| CapletConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) |
| CapletConstantVolatility (Integer settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) |
| CapletConstantVolatility (Integer settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) |
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DayCounter | dayCounter () const |
| the day counter used for date/time conversion
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Protected Member Functions |
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Volatility | volatilityImpl (Time t, Rate) const |
| implements the actual volatility calculation in derived classes
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