CapVolatilityStructure Class Reference
#include <ql/capvolstructures.hpp>
Inheritance diagram for CapVolatilityStructure:

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. | |
| CapVolatilityStructure (const DayCounter &dc=Actual365Fixed()) | |
| default constructor | |
| CapVolatilityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=Actual365Fixed()) | |
| initialize with a fixed reference date | |
| CapVolatilityStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=Actual365Fixed()) | |
| calculate the reference date based on the global evaluation date | |
Volatility | |
| Volatility | volatility (const Date &end, Rate strike, bool extrapolate=false) const |
| 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 (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
| CapVolatilityStructure | ( | const DayCounter & | dc = Actual365Fixed() |
) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.