CapFloorTermVolSurface Class Reference
Cap/floor smile volatility surface. More...
#include <ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp>
Inheritance diagram for CapFloorTermVolSurface:

Public Member Functions | |
CapFloorTermVolSurface (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed()) | |
floating reference date, floating market data | |
CapFloorTermVolSurface (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed()) | |
fixed reference date, floating market data | |
CapFloorTermVolSurface (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, const DayCounter &dc=Actual365Fixed()) | |
fixed reference date, fixed market data | |
CapFloorTermVolSurface (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, 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 |
const std::vector< Rate > & | strikes () const |
Protected Member Functions | |
Volatility | volatilityImpl (Time t, Rate strike) const |
implements the actual volatility calculation in derived classes |
Detailed Description
Cap/floor smile volatility surface.
This class provides the volatility for a given cap/floor interpolating a volatility surface whose elements are the market term volatilities of a set of caps/floors with given length and given strike.
Member Function Documentation
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.