- QuantLib
- VolatilityTermStructure
Volatility term structure. More...
#include <ql/termstructures/voltermstructure.hpp>
Public Member Functions | |
virtual BusinessDayConvention | businessDayConvention () const |
the business day convention used in tenor to date conversion | |
Date | optionDateFromTenor (const Period &) const |
period/date conversion | |
virtual Rate | minStrike () const =0 |
the minimum strike for which the term structure can return vols | |
virtual Rate | maxStrike () const =0 |
the maximum strike for which the term structure can return vols | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
VolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
Protected Member Functions | |
void | checkStrike (Rate strike, bool extrapolate) const |
strike-range check |
Volatility term structure.
This abstract class defines the interface of concrete volatility structures which will be derived from this one.
VolatilityTermStructure | ( | const Calendar & | cal, |
BusinessDayConvention | bdc, | ||
const DayCounter & | dc = DayCounter() |
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) |
VolatilityTermStructure | ( | BusinessDayConvention | bdc, |
const DayCounter & | dc = DayCounter() |
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) |