- QuantLib
- CapFloorTermVolCurve
 
Cap/floor at-the-money term-volatility vector. More...
#include <ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp>

| Public Member Functions | |
| CapFloorTermVolCurve (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &vols, const DayCounter &dc=Actual365Fixed()) | |
| floating reference date, floating market data | |
| CapFloorTermVolCurve (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &vols, const DayCounter &dc=Actual365Fixed()) | |
| fixed reference date, floating market data | |
| CapFloorTermVolCurve (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Volatility > &vols, const DayCounter &dc=Actual365Fixed()) | |
| fixed reference date, fixed market data | |
| CapFloorTermVolCurve (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Volatility > &vols, 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 | 
| Protected Member Functions | |
| Volatility | volatilityImpl (Time length, Rate) const | 
| implements the actual volatility calculation in derived classes | |
Cap/floor at-the-money term-volatility vector.
This class provides the at-the-money volatility for a given cap/floor interpolating a volatility vector whose elements are the market volatilities of a set of caps/floors with given length.
| 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.