CapletVolatilityStructure Class Reference
#include <ql/capvolstructures.hpp>
Inheritance diagram for CapletVolatilityStructure:

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 (const DayCounter &dc=Actual365Fixed()) | |
default constructor | |
CapletVolatilityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=Actual365Fixed()) | |
initialize with a fixed reference date | |
CapletVolatilityStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=Actual365Fixed()) | |
calculate the reference date based on the global evaluation date | |
Volatility and Variance | |
Volatility | volatility (const Date &exerciseDate, Rate strike, bool extrapolate=false) const |
returns the volatility for a given exercise date and strike rate | |
Volatility | volatility (Time t, Rate strike, bool extrapolate=false) const |
returns the volatility for a given exercise time and strike rate | |
Volatility | volatility (const Period &optionTenor, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option tenor and strike rate | |
Real | blackVariance (const Date &exerciseDate, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given exercise date and strike rate | |
Real | blackVariance (Time t, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given start time and strike rate | |
Volatility | blackVariance (const Period &optionTenor, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option tenor and strike rate | |
Limits | |
virtual Real | minStrike () const=0 |
the minimum strike for which the term structure can return vols | |
virtual Real | maxStrike () const=0 |
the maximum strike for which the term structure can return vols | |
Protected Member Functions | |
virtual Volatility | volatilityImpl (Time length, Rate strike) const=0 |
implements the actual volatility calculation in derived classes |
Constructor & Destructor Documentation
CapletVolatilityStructure | ( | const DayCounter & | dc = Actual365Fixed() |
) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.