VolatilityTermStructure Class Reference

#include <ql/termstructures/voltermstructure.hpp>

Inheritance diagram for VolatilityTermStructure:

List of all members.


Detailed Description

Volatility term structure.

This abstract class defines the interface of concrete volatility structures which will be derived from this one.

Public Member Functions

BusinessDayConvention businessDayConvention () const
 the business day convention used in tenor to date conversion
Date optionDateFromTenor (const Period &) const
 tenor to date conversion
Constructors
See the TermStructure documentation for issues regarding constructors.

 VolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 default constructor
 VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date


Constructor & Destructor Documentation

VolatilityTermStructure ( const Calendar cal,
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.