CapFlatVolatilityStructure Class Reference

#include <ql/capvolstructures.hpp>

Inheritance diagram for CapFlatVolatilityStructure:

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List of all members.

Detailed Description

Cap/floor flat volatility structure.

This class is purely abstract and defines the interface of concrete structures which will be derived from this one.


Public Member Functions

virtual Date todaysDate () const =0
 returns today's date

virtual Date settlementDate () const =0
 returns the settlement date

virtual DayCounter dayCounter () const =0
 returns the day counter used for internal date/time conversions

Volatility volatility (const Date &end, Rate strike) const
 returns the volatility for a given end date and strike rate

Volatility volatility (const Period &length, Rate strike) const
 returns the volatility for a given cap/floor length and strike rate

Volatility volatility (Time t, Rate strike) const
 returns the volatility for a given end time and strike rate


Protected Member Functions

virtual Volatility volatilityImpl (Time length, Rate strike) const =0
 implements the actual volatility calculation in derived classes


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