ConstantOptionletVol Class Reference

#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>

Inheritance diagram for ConstantOptionletVol:

List of all members.


Detailed Description

Constant caplet volatility, no time-strike dependence.

OptionletVolatilityStructure 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
Volatility volatilityImpl (Time t, Rate) const
 implements the actual volatility calculation in derived classes

Public Member Functions

 ConstantOptionletVol (const Handle< Quote > &volatility, const Calendar &cal, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)
 floating reference date, floating market data
 ConstantOptionletVol (const Date &referenceDate, const Handle< Quote > &volatility, const Calendar &cal, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)
 fixed reference date, floating market data
 ConstantOptionletVol (Volatility volatility, const Calendar &cal, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)
 floating reference date, fixed market data
 ConstantOptionletVol (const Date &referenceDate, Volatility volatility, const Calendar &cal, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)
 fixed reference date, fixed market data
TermStructure interface
Date maxDate () const
 the latest date for which the curve can return values