- 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.