CapletVolatilityStructure Class Reference
#include <ql/capvolstructures.hpp>
Inheritance diagram for CapletVolatilityStructure:

Detailed Description
Caplet/floorlet forward-volatility structure.This class is purely abstract and defines the interface of concrete structures which will be derived from this one.
Public Member Functions | |
Volatility and Variance | |
Volatility | volatility (const Date &start, Rate strike, bool extrapolate=false) const |
returns the volatility for a given start date and strike rate | |
Volatility | volatility (Time t, Rate strike, bool extrapolate=false) const |
returns the volatility for a given start time and strike rate | |
Real | blackVariance (const Date &start, Rate strike, bool extrapolate=false) const |
returns the black variance for a given start date and strike rate | |
Real | blackVariance (Time t, Rate strike, bool extrapolate=false) const |
returns the black variance for a given start time and strike rate | |
Limits | |
virtual Real | minStrike () const=0 |
the minimum strike for which the term structure can return vols | |
virtual Real | maxStrike () const=0 |
the maximum strike for which the term structure can return vols | |
Protected Member Functions | |
virtual Volatility | volatilityImpl (Time length, Rate strike) const=0 |
implements the actual volatility calculation in derived classes |
Constructor & Destructor Documentation
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.