- QuantLib
- CapletVarianceCurve
 
#include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp>

| Public Member Functions | |
| CapletVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &capletVolCurve, const DayCounter &dayCounter) | |
| 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 | |
| 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 | |
| Protected Member Functions | |
| boost::shared_ptr< SmileSection > | smileSectionImpl (Time t) const | 
| implements the actual smile calculation in derived classes | |
| Volatility | volatilityImpl (Time t, Rate) const | 
| implements the actual volatility calculation in derived classes | |