CapletVarianceCurve Class Reference
#include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp>
Inheritance diagram for CapletVarianceCurve:

Public Member Functions | |
CapletVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &capletVolCurve, const DayCounter &dayCounter) | |
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 | |
TermStructure interface | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Date | maxDate () const |
the latest date for which the curve can return values | |
Protected Member Functions | |
boost::shared_ptr< SmileSection > | smileSectionImpl (Time t) const |
implements the actual smile calculation in derived classes | |
Volatility | volatilityImpl (Time t, Rate) const |
implements the actual volatility calculation in derived classes |
Detailed Description
- Deprecated:
- use the StrippedOptionletAdapter of a StrippedOptionlet instance