25#ifndef quantlib_capfloor_volatility_structure_hpp
26#define quantlib_capfloor_volatility_structure_hpp
66 bool extrapolate =
false)
const;
69 bool extrapolate =
false)
const;
73 bool extrapolate =
false)
const;
78 Rate strike)
const = 0;
Cap/floor term-volatility structure.
virtual Volatility volatilityImpl(Time length, Rate strike) const =0
implements the actual volatility calculation in derived classes
Volatility volatility(const Period &length, Rate strike, bool extrapolate=false) const
returns the volatility for a given cap/floor length and strike rate
~CapFloorTermVolatilityStructure() override=default
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
Time timeFromReference(const Date &date) const
date/time conversion
void checkRange(const Date &d, bool extrapolate) const
date-range check
Volatility term structure.
void checkStrike(Rate strike, bool extrapolate) const
strike-range check
Date optionDateFromTenor(const Period &) const
period/date conversion
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility
Volatility term structure.