InterestRateVolSurface Class Reference

Interest rate volatility (smile) surface. More...

#include <ql/experimental/volatility/interestratevolsurface.hpp>

Inheritance diagram for InterestRateVolSurface:

List of all members.

Public Member Functions

const boost::shared_ptr
< InterestRateIndex > & 
index () const
Constructors

See the TermStructure documentation for issues regarding constructors.

 InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
VolatilityTermStructure interface
Date optionDateFromTenor (const Period &) const
 period/date conversion
Visitability
virtual void accept (AcyclicVisitor &)

Protected Attributes

boost::shared_ptr
< InterestRateIndex
index_

Detailed Description

Interest rate volatility (smile) surface.

This abstract class defines the interface of concrete Interest rate volatility (smile) surfaces which will be derived from this one.

Volatilities are assumed to be expressed on an annual basis.


Constructor & Destructor Documentation

InterestRateVolSurface ( const boost::shared_ptr< InterestRateIndex > &  ,
const Calendar cal = Calendar(),
BusinessDayConvention  bdc = Following,
const DayCounter dc = DayCounter() 
)
Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.