ConstantCapFloorTermVolatility Class Reference

Constant caplet volatility, no time-strike dependence. More...

#include <ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp>

Inheritance diagram for ConstantCapFloorTermVolatility:

List of all members.

Public Member Functions

 ConstantCapFloorTermVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc)
 floating reference date, floating market data
 ConstantCapFloorTermVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc)
 fixed reference date, floating market data
 ConstantCapFloorTermVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc)
 floating reference date, fixed market data
 ConstantCapFloorTermVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc)
 fixed reference date, fixed market data
TermStructure interface
Date maxDate () const
 the latest date for which the curve can return values
VolatilityTermStructure 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

Protected Member Functions

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


Detailed Description

Constant caplet volatility, no time-strike dependence.