QuantLib_CallableBondConstantVolatility (3) - Linux Manuals
QuantLib_CallableBondConstantVolatility: Constant callable-bond volatility, no time-strike dependence.
NAME
QuantLib::CallableBondConstantVolatility - Constant callable-bond volatility, no time-strike dependence.
SYNOPSIS
#include <ql/experimental/callablebonds/callablebondconstantvol.hpp>
Inherits QuantLib::CallableBondVolatilityStructure.
Public Member Functions
CallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter)
CallableBondConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter)
CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter)
CallableBondConstantVolatility (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter)
TermStructure interface
DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values
CallableBondConstantVolatility interface
const Period & maxBondTenor () const
the largest length for which the term structure can return vols
Time maxBondLength () const
the largest bondLength for which the term structure can return vols
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
Volatility volatilityImpl (Time, Time, Rate) const
implements the actual volatility calculation in derived classes
boost::shared_ptr< SmileSection > smileSectionImpl (Time optionTime, Time bondLength) const
return smile section
Volatility volatilityImpl (const Date &, const Period &, Rate) const
Detailed Description
Constant callable-bond volatility, no time-strike dependence.
Author
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