CapFloorTermVolSurface (3) - Linux Manuals

CapFloorTermVolSurface: Cap/floor smile volatility surface.

NAME

QuantLib::CapFloorTermVolSurface - Cap/floor smile volatility surface.

SYNOPSIS

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

Inherits QuantLib::CapFloorTermVolatilityStructure, and QuantLib::LazyObject.

Public Member Functions

CapFloorTermVolSurface (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed())
floating reference date, floating market data
CapFloorTermVolSurface (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed())
fixed reference date, floating market data
CapFloorTermVolSurface (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, const DayCounter &dc=Actual365Fixed())
fixed reference date, fixed market data
CapFloorTermVolSurface (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, const DayCounter &dc=Actual365Fixed())
floating reference date, fixed market data

TermStructure interface

Date maxDate () const
the latest date for which the curve can return values

VolatilityTermStructure interface

Real minStrike () const
the minimum strike for which the term structure can return vols
Real maxStrike () const
the maximum strike for which the term structure can return vols

LazyObject interface

void update ()

void performCalculations () const

some inspectors

const std::vector< Period > & optionTenors () const

const std::vector< Date > & optionDates () const

const std::vector< Time > & optionTimes () const

const std::vector< Rate > & strikes () const

Protected Member Functions

Volatility volatilityImpl (Time t, Rate strike) const
implements the actual volatility calculation in derived classes

Detailed Description

Cap/floor smile volatility surface.

This class provides the volatility for a given cap by interpolating a volatility surface whose elements are the market term volatilities of a set of caps/floors with given length and given strike.

Member Function Documentation

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

void performCalculations () const [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Author

Generated automatically by Doxygen for QuantLib from the source code.