CapFloorTermVolatilityStructure Class Reference

Cap/floor term-volatility structure. More...

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

Inheritance diagram for CapFloorTermVolatilityStructure:

List of all members.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

 CapFloorTermVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 default constructor
 CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 CapFloorTermVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
Volatility
Volatility volatility (const Period &length, Rate strike, bool extrapolate=false) const
 returns the volatility for a given cap/floor length and strike rate
Volatility volatility (const Date &end, Rate strike, bool extrapolate=false) const
Volatility volatility (Time t, Rate strike, bool extrapolate=false) const
 returns the volatility for a given end time and strike rate

Protected Member Functions

virtual Volatility volatilityImpl (Time length, Rate strike) const =0
 implements the actual volatility calculation in derived classes


Detailed Description

Cap/floor term-volatility structure.

This class is purely abstract and defines the interface of concrete structures which will be derived from this one.


Constructor & Destructor Documentation

default constructor

Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.