CapletConstantVolatility Class Reference

#include <ql/Volatilities/capletconstantvol.hpp>

Inheritance diagram for CapletConstantVolatility:

Inheritance graph
[legend]
List of all members.

Detailed Description

Constant caplet volatility, no time-strike dependence.


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)
TermStructure interface
DayCounter dayCounter () const
 the day counter used for date/time conversion

Protected Member Functions

CapletVolatilityStructure interface
Volatility volatilityImpl (Time t, Rate) const
 implements the actual volatility calculation in derived classes


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen