VolatilityTermStructure Class Reference
#include <ql/termstructures/voltermstructure.hpp>
Inheritance diagram for VolatilityTermStructure:

Detailed Description
Volatility term structure.This abstract class defines the interface of concrete volatility structures which will be derived from this one.
Public Member Functions | |
BusinessDayConvention | businessDayConvention () const |
the business day convention used in tenor to date conversion | |
Date | optionDateFromTenor (const Period &) const |
tenor to date conversion | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
VolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
default constructor | |
VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date |
Constructor & Destructor Documentation
VolatilityTermStructure | ( | const Calendar & | cal, | |
BusinessDayConvention | bdc = Following , |
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const DayCounter & | dc = DayCounter() | |||
) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.