VolatilityTermStructure Class Reference

Volatility term structure. More...

#include <ql/termstructures/voltermstructure.hpp>

Inheritance diagram for VolatilityTermStructure:

List of all members.

Public Member Functions

virtual BusinessDayConvention businessDayConvention () const
 the business day convention used in tenor to date conversion
Date optionDateFromTenor (const Period &) const
 period/date conversion
virtual Rate minStrike () const =0
 the minimum strike for which the term structure can return vols
virtual Rate maxStrike () const =0
 the maximum strike for which the term structure can return vols
Constructors

See the TermStructure documentation for issues regarding constructors.

 VolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 default constructor
 VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date

Protected Member Functions

void checkStrike (Rate strike, bool extrapolate) const
 strike-range check

Detailed Description

Volatility term structure.

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


Constructor & Destructor Documentation

VolatilityTermStructure ( const Calendar cal,
BusinessDayConvention  bdc,
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.