DecInterpCapletVolStructure Class Reference

#include <ql/termstructures/volatilities/capletvolatilitiesstructures.hpp>

List of all members.


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
MatrixvolatilityParameters () 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.