26#ifndef quantlib_spreaded_caplet_volstructure_h
27#define quantlib_spreaded_caplet_volstructure_h
99 return baseVol_->businessDayConvention();
Shared handle to an observable.
Optionlet (caplet/floorlet) volatility structure.
const Handle< Quote > spread_
Calendar calendar() const override
the calendar used for reference and/or option date calculation
Rate maxStrike() const override
the maximum strike for which the term structure can return vols
const Handle< OptionletVolatilityStructure > baseVol_
Rate minStrike() const override
the minimum strike for which the term structure can return vols
Volatility volatilityImpl(Time optionTime, Rate strike) const override
implements the actual volatility calculation in derived classes
const Date & referenceDate() const override
the date at which discount = 1.0 and/or variance = 0.0
VolatilityType volatilityType() const override
Natural settlementDays() const override
the settlementDays used for reference date calculation
DayCounter dayCounter() const override
the day counter used for date/time conversion
Date maxDate() const override
the latest date for which the curve can return values
BusinessDayConvention businessDayConvention() const override
the business day convention used in tenor to date conversion
Real displacement() const override
ext::shared_ptr< SmileSection > smileSectionImpl(const Date &d) const override
Time maxTime() const override
the latest time for which the curve can return values
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility
optionlet (caplet/floorlet) volatility stripper
optionlet (caplet/floorlet) volatility structure
StrippedOptionlet Adapter.