CapVolatilityVector Class Reference

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

Inheritance diagram for CapVolatilityVector:

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List of all members.

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.