InterestRateVolSurface Class Reference
#include <ql/experimental/interestratevolsurface.hpp>
Inheritance diagram for InterestRateVolSurface:

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() , |
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BusinessDayConvention | bdc = Following , |
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const DayCounter & | dc = DayCounter() | |||
) |
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.