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QuantLib_CapFloorTermVolatilityStructure
Langue: en
Version: 171732 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::CapFloorTermVolatilityStructure - Cap/floor term-volatility structure.SYNOPSIS
#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp>
Inherits QuantLib::VolatilityTermStructure.
Inherited by CapFloorTermVolCurve, CapFloorTermVolSurface, and ConstantCapFloorTermVolatility.
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
CapFloorTermVolatilityStructure (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.
Author
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