CapVolatilityStructure Class Reference

#include <ql/capvolstructures.hpp>

Inheritance diagram for CapVolatilityStructure:

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List of all members.

Detailed Description

Cap/floor term-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
Volatility volatility (const Date &end, Rate strike, bool extrapolate=false) const
Volatility volatility (const Period &length, Rate strike, bool extrapolate=false) const
 returns the volatility for a given cap/floor length and strike rate
Volatility volatility (Time t, Rate strike, bool extrapolate=false) const
 returns the volatility for a given end 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.