CapFloorTermVolatilityStructure Class Reference
#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp>
Inheritance diagram for CapFloorTermVolatilityStructure:

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() , |
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BusinessDayConvention | bdc = Following , |
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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.