CapFloorTermVolatilityStructure Class Reference

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

Inheritance diagram for CapFloorTermVolatilityStructure:

List of all members.


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.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

 CapFloorTermVolatilityStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor
 CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 CapFloorTermVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, 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
Limits
virtual Real minStrike () const =0
 the minimum strike for which the term structure can return vols
virtual Real maxStrike () const =0
 the maximum strike for which the term structure can return vols

Protected Member Functions

virtual Volatility volatilityImpl (Time length, Rate strike) const =0
 implements the actual volatility calculation in derived classes


Constructor & Destructor Documentation

CapFloorTermVolatilityStructure ( const Calendar cal = Calendar(),
BusinessDayConvention  bdc = Following,
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.