CapFloorTermVolatilityStructure (3) - Linux Manuals

CapFloorTermVolatilityStructure: Cap/floor term-volatility structure.

NAME

QuantLib::CapFloorTermVolatilityStructure - Cap/floor term-volatility structure.

SYNOPSIS

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

Inherits QuantLib::VolatilityTermStructure.

Inherited by CapFloorTermVolCurve, CapFloorTermVolSurface, and ConstantCapFloorTermVolatility.

Public Member Functions

Constructors
See the TermStructure documentation for issues regarding constructors.

CapFloorTermVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
default constructor
CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
CapFloorTermVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, 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

Protected Member Functions

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

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.

Constructor & Destructor Documentation

CapFloorTermVolatilityStructure (const Calendar & cal, BusinessDayConvention bdc, 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.

Author

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