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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