- QuantLib
- CapFloorTermVolatilityStructure
 
Cap/floor term-volatility structure. More...
#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp>

| Public Member Functions | |
| Constructors | |
| See the TermStructure documentation for issues regarding constructors. | |
| CapFloorTermVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| CapFloorTermVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| 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 | |
Cap/floor term-volatility structure.
This class is purely abstract and defines the interface of concrete structures which will be derived from this one.
| CapFloorTermVolatilityStructure | ( | const Calendar & | cal, | 
| BusinessDayConvention | bdc, | ||
| const DayCounter & | dc = DayCounter() | ||
| ) | 
| CapFloorTermVolatilityStructure | ( | BusinessDayConvention | bdc, | 
| const DayCounter & | dc = DayCounter() | ||
| ) |