CapFlatVolatilityVector Class Reference

#include <ql/Volatilities/capflatvolvector.hpp>

Inheritance diagram for CapFlatVolatilityVector:

Inheritance graph
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List of all members.

Detailed Description

Cap/floor at-the-money flat 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.

Todo:
either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the length vector but an interpolation pointing to the original ones.


Public Member Functions

 CapFlatVolatilityVector (const Date &todaysDate, const Calendar &calendar, Integer settlementDays, const std::vector< Period > &lengths, const std::vector< Volatility > &volatilities, const DayCounter &dayCounter=Thirty360())
Date todaysDate () const
 returns today's date

Date settlementDate () const
 returns the settlement date

DayCounter dayCounter () const
 returns the day counter used for internal date/time conversions


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