CapFloorTermVolCurve Class Reference

#include <qle/termstructures/capfloortermvolcurve.hpp>

Inheritance diagram for CapFloorTermVolCurve:

Collaboration diagram for CapFloorTermVolCurve:

Public Member Functions
Constructors
	CapFloorTermVolCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	CapFloorTermVolCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	CapFloorTermVolCurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	calculate the reference date based on the global evaluation date More...
virtual std::vector< QuantLib::Period >	optionTenors () const =0
	Return the tenors used in the CapFloorTermVolCurve. More...

Detailed Description

Cap floor term volatility curve. Abstract base class for one dimensional curve of cap floor volatilities.

Definition at line 41 of file capfloortermvolcurve.hpp.

Constructor & Destructor Documentation

CapFloorTermVolCurve() [1/3]

CapFloorTermVolCurve	(	QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dc = QuantLib::DayCounter()
	)

Definition at line 45 of file capfloortermvolcurve.hpp.

        : QuantLib::CapFloorTermVolatilityStructure(bdc, dc) {}

CapFloorTermVolCurve() [2/3]

CapFloorTermVolCurve	(	const QuantLib::Date &	referenceDate,
		const QuantLib::Calendar &	cal,
		QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dc = QuantLib::DayCounter()
	)

Definition at line 48 of file capfloortermvolcurve.hpp.

        : QuantLib::CapFloorTermVolatilityStructure(referenceDate, cal, bdc, dc) {}

CapFloorTermVolCurve() [3/3]

CapFloorTermVolCurve	(	QuantLib::Natural	settlementDays,
		const QuantLib::Calendar &	cal,
		QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dc = QuantLib::DayCounter()
	)

calculate the reference date based on the global evaluation date

Definition at line 53 of file capfloortermvolcurve.hpp.

        : QuantLib::CapFloorTermVolatilityStructure(settlementDays, cal, bdc, dc) {}

Member Function Documentation

optionTenors()

virtual std::vector< QuantLib::Period > optionTenors ( ) const

pure virtual

Return the tenors used in the CapFloorTermVolCurve.

Implemented in InterpolatedCapFloorTermVolCurve< Interpolator >.