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QuantLib_CapFloorTermVolCurve
Langue: en
Version: 383749 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::CapFloorTermVolCurve -Cap/floor at-the-money term-volatility vector.
SYNOPSIS
#include <ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp>
Inherits QuantLib::CapFloorTermVolatilityStructure, QuantLib::LazyObject, and boost::noncopyable.
Public Member Functions
CapFloorTermVolCurve (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &vols, const DayCounter &dc=Actual365Fixed())
floating reference date, floating market data
CapFloorTermVolCurve (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &vols, const DayCounter &dc=Actual365Fixed())
fixed reference date, floating market data
CapFloorTermVolCurve (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Volatility > &vols, const DayCounter &dc=Actual365Fixed())
fixed reference date, fixed market data
CapFloorTermVolCurve (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Volatility > &vols, const DayCounter &dc=Actual365Fixed())
floating reference date, fixed market data
TermStructure interface
Date maxDate () const
VolatilityTermStructure interface
Real minStrike () const
Real maxStrike () const
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
Protected Member Functions
Volatility volatilityImpl (Time length, Rate) const
Detailed Description
Cap/floor at-the-money term-volatility vector.
This class provides the at-the-money volatility for a given cap by interpolating a volatility vector whose elements are the market volatilities of a set of caps/floors with given length.
Author
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