InterestRateVolSurface Class Reference

#include <ql/experimental/interestratevolsurface.hpp>

Inheritance diagram for InterestRateVolSurface:

List of all members.


Detailed Description

Interest rate volatility (smile) surface.

This abstract class defines the interface of concrete Interest rate volatility (smile) surfaces which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Public Member Functions

const boost::shared_ptr
< InterestRateIndex > & 
index () const
Constructors
See the TermStructure documentation for issues regarding constructors.

 InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
Visitability
virtual void accept (AcyclicVisitor &)

Protected Attributes

boost::shared_ptr
< InterestRateIndex
index_


Constructor & Destructor Documentation

InterestRateVolSurface ( const boost::shared_ptr< InterestRateIndex > &  ,
const Calendar cal = Calendar(),
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)

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