Cap/floor term-volatility surface. More...

#include <qle/termstructures/capfloortermvolsurface.hpp>

Inheritance diagram for CapFloorTermVolSurface:

Collaboration diagram for CapFloorTermVolSurface:

Public Member Functions
	CapFloorTermVolSurface (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	default constructor More...

	CapFloorTermVolSurface (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	initialize with a fixed reference date More...

	CapFloorTermVolSurface (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	calculate the reference date based on the global evaluation date More...

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

const std::vector< QuantLib::Rate > &	strikes () const

LazyObject interface
std::vector< QuantLib::Period >	optionTenors_

std::vector< QuantLib::Rate >	strikes_

void	update () override

void	performCalculations () const override

Detailed Description

Cap/floor term-volatility surface.

This is a base class and defines the interface of capfloor term surface which will be derived from this one.

Definition at line 40 of file capfloortermvolsurface.hpp.

Constructor & Destructor Documentation

◆ CapFloorTermVolSurface() [1/3]

CapFloorTermVolSurface	(	QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dc = `QuantLib::DayCounter()`,
		std::vector< QuantLib::Period >	optionTenors = `{}`,
		std::vector< QuantLib::Rate >	strikes = `{}`
	)

default constructor

Definition at line 43 of file capfloortermvolsurface.hpp.

                                                     {},
            std::vector<QuantLib::Rate> strikes = {})
        : CapFloorTermVolatilityStructure(bdc, dc), optionTenors_(optionTenors), strikes_(strikes) {};

◆ CapFloorTermVolSurface() [2/3]

CapFloorTermVolSurface	(	const QuantLib::Date &	referenceDate,
		const QuantLib::Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc = `QuantLib::DayCounter()`,
		std::vector< QuantLib::Period >	optionTenors = `{}`,
		std::vector< QuantLib::Rate >	strikes = `{}`
	)

initialize with a fixed reference date

Definition at line 50 of file capfloortermvolsurface.hpp.

                                                     {},
            std::vector<QuantLib::Rate> strikes = {})
        : CapFloorTermVolatilityStructure(referenceDate, cal, bdc, dc), optionTenors_(optionTenors), strikes_(strikes) {};

◆ CapFloorTermVolSurface() [3/3]

CapFloorTermVolSurface	(	QuantLib::Natural	settlementDays,
		const QuantLib::Calendar &	cal,
		QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dc = `QuantLib::DayCounter()`,
		std::vector< QuantLib::Period >	optionTenors = `{}`,
		std::vector< QuantLib::Rate >	strikes = `{}`
	)

calculate the reference date based on the global evaluation date

Definition at line 59 of file capfloortermvolsurface.hpp.

                                                     {},
            std::vector<QuantLib::Rate> strikes = {})
        : CapFloorTermVolatilityStructure(settlementDays, cal, bdc, dc), optionTenors_(optionTenors), strikes_(strikes) {};

Member Function Documentation

◆ optionTenors()

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

Definition at line 67 of file capfloortermvolsurface.hpp.

67{ return optionTenors_; }

◆ strikes()

const std::vector< QuantLib::Rate > & strikes ( ) const

Definition at line 68 of file capfloortermvolsurface.hpp.

68{ return strikes_; }

◆ update()

void update ( )

override

Definition at line 72 of file capfloortermvolsurface.hpp.

                           {
        CapFloorTermVolatilityStructure::update();
        LazyObject::update();
    }

◆ performCalculations()

void performCalculations ( ) const

override

Definition at line 76 of file capfloortermvolsurface.hpp.

76{};

Member Data Documentation

◆ optionTenors_

std::vector<QuantLib::Period> optionTenors_

protected

Definition at line 80 of file capfloortermvolsurface.hpp.

◆ strikes_

std::vector<QuantLib::Rate> strikes_