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QuantLib_CapFloorTermVolCurve

NAME

QuantLib::CapFloorTermVolCurve -

Cap/floor at-the-money term-volatility vector.

SYNOPSIS

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

Inherits QuantLib::CapFloorTermVolatilityStructure, QuantLib::LazyObject, and boost::noncopyable.

Public Member Functions

CapFloorTermVolCurve (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &vols, const DayCounter &dc=Actual365Fixed())
floating reference date, floating market data
CapFloorTermVolCurve (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &vols, const DayCounter &dc=Actual365Fixed())
fixed reference date, floating market data
CapFloorTermVolCurve (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Volatility > &vols, const DayCounter &dc=Actual365Fixed())
fixed reference date, fixed market data
CapFloorTermVolCurve (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Volatility > &vols, const DayCounter &dc=Actual365Fixed())
floating reference date, fixed market data

TermStructure interface

 

Date maxDate () const

VolatilityTermStructure interface

 

Real minStrike () const

Real maxStrike () const

LazyObject interface

 

void update ()

void performCalculations () const

some inspectors

 

const std::vector< Period > & optionTenors () const

const std::vector< Date > & optionDates () const

const std::vector< Time > & optionTimes () const

Protected Member Functions

Volatility volatilityImpl (Time length, Rate) const

Detailed Description

Cap/floor at-the-money term-volatility vector.

This class provides the at-the-money volatility for a given cap by interpolating a volatility vector whose elements are the market volatilities of a set of caps/floors with given length.

Author

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