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QuantLib_ConstantYoYOptionletVolatility
Langue: en
Version: 374085 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::ConstantYoYOptionletVolatility -Constant surface, no K or T dependence.
SYNOPSIS
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
Inherits QuantLib::YoYOptionletVolatilitySurface.
Public Member Functions
Constructor
ConstantYoYOptionletVolatility (const Volatility v, Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, Rate minStrike=-1.0, Rate maxStrike=100.0)
calculate the reference date based on the global evaluation date
Limits
virtual Date maxDate () const
the latest date for which the curve can return values
virtual Real minStrike () const
the minimum strike for which the term structure can return vols
virtual Real maxStrike () const
the maximum strike for which the term structure can return vols
Protected Member Functions
virtual Volatility volatilityImpl (Time length, Rate strike) const
implements the actual volatility calculation in derived classes
Protected Attributes
Volatility volatility_
Rate minStrike_
Rate maxStrike_
Detailed Description
Constant surface, no K or T dependence.
Author
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