DecInterpCapletVolStructure Class Reference
#include <ql/termstructures/volatilities/capletvolatilitiesstructures.hpp>
Detailed Description
this class is interpolating caplets volatilities linealy in two steps (instead of
Public Member Functions | |
DecInterpCapletVolStructure (const Date &referenceDate, const DayCounter dayCounter, const CapMatrix &referenceCaps, const std::vector< Rate > &strikes) | |
Volatility | volatilityImpl (Time length, Rate strike) const |
implements the actual volatility calculation in derived classes | |
void | setClosestTenors (Time time, Time &nextLowerTenor, Time &nextHigherTenor) |
Time | minTime () const |
Time | maxTime () const |
the latest time for which the curve can return values | |
Real & | volatilityParameter (Size i, Size j) const |
Matrix & | volatilityParameters () const |
void | update () |
TermStructure interface | |
Date | maxDate () const |
the latest date for which the curve can return values | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
CapletVolatilityStructure interface | |
Real | minStrike () const |
the minimum strike for which the term structure can return vols | |
Real | maxStrike () const |
the maximum strike for which the term structure can return vols |
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 TermStructure.