QuantLib_InterestRateVolSurface (3) - Linux Manuals

QuantLib_InterestRateVolSurface: Interest rate volatility (smile) surface.

NAME

QuantLib::InterestRateVolSurface - Interest rate volatility (smile) surface.

SYNOPSIS

#include <ql/experimental/volatility/interestratevolsurface.hpp>

Inherits QuantLib::BlackVolSurface.

Inherited by SabrVolSurface.

Public Member Functions

const boost::shared_ptr< InterestRateIndex > & index () const

Constructors
See the TermStructure documentation for issues regarding constructors.

InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())

InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date

VolatilityTermStructure interface

Date optionDateFromTenor (const Period &) const
period/date conversion

Visitability

virtual void accept (AcyclicVisitor &)

Protected Attributes

boost::shared_ptr< InterestRateIndex > index_

Detailed Description

Interest rate volatility (smile) surface.

This abstract class defines the interface of concrete Interest rate volatility (smile) surfaces which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.

Constructor & Destructor Documentation

InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Calendar & cal = Calendar(), BusinessDayConvention bdc = Following, const DayCounter & dc = DayCounter())

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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