CapletVolatilityStructure Class Reference

#include <ql/capvolstructures.hpp>

Inheritance diagram for CapletVolatilityStructure:

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List of all members.

Detailed Description

Caplet/floorlet forward-volatility structure.

This class is purely abstract and defines the interface of concrete structures which will be derived from this one.


Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

 CapletVolatilityStructure ()
 default constructor
 CapletVolatilityStructure (const Date &referenceDate)
 initialize with a fixed reference date
 CapletVolatilityStructure (Integer settlementDays, const Calendar &)
 calculate the reference date based on the global evaluation date
Volatility
Volatility volatility (const Date &start, Rate strike) const
 returns the volatility for a given start date and strike rate
Volatility volatility (Time t, Rate strike) const
 returns the volatility for a given start 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

CapletVolatilityStructure  ) 
 

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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