CapVolatilityVector Class Reference
#include <ql/termstructures/volatilities/capflatvolvector.hpp>
Inheritance diagram for CapVolatilityVector:

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 &settlementDate, const std::vector< Period > &lengths, const std::vector< Volatility > &volatilities, const DayCounter &dayCounter) | |
CapVolatilityVector (Natural 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 | |
Date | maxDate () const |
the latest date for which the curve can return values | |
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 | |
void | update () |
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.