QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
ql
termstructures
volatility
optionlet
optionletvolatilitystructure.cpp
Go to the documentation of this file.
1
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3
/*
4
Copyright (C) 2002, 2003 RiskMap srl
5
Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
6
7
This file is part of QuantLib, a free-software/open-source library
8
for financial quantitative analysts and developers - http://quantlib.org/
9
10
QuantLib is free software: you can redistribute it and/or modify it
11
under the terms of the QuantLib license. You should have received a
12
copy of the license along with this program; if not, please email
13
<quantlib-dev@lists.sf.net>. The license is also available online at
14
<http://quantlib.org/license.shtml>.
15
16
This program is distributed in the hope that it will be useful, but WITHOUT
17
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18
FOR A PARTICULAR PURPOSE. See the license for more details.
19
*/
20
21
#include <
ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp
>
22
23
namespace
QuantLib
{
24
25
OptionletVolatilityStructure::OptionletVolatilityStructure
(
26
BusinessDayConvention
bdc,
27
const
DayCounter
& dc)
28
:
VolatilityTermStructure
(bdc, dc) {}
29
30
OptionletVolatilityStructure::OptionletVolatilityStructure
(
31
const
Date
& referenceDate,
32
const
Calendar
& cal,
33
BusinessDayConvention
bdc,
34
const
DayCounter
& dc)
35
:
VolatilityTermStructure
(referenceDate, cal, bdc, dc) {}
36
37
OptionletVolatilityStructure::OptionletVolatilityStructure
(
38
Natural
settlementDays,
39
const
Calendar
& cal,
40
BusinessDayConvention
bdc,
41
const
DayCounter
& dc)
42
:
VolatilityTermStructure
(settlementDays, cal, bdc, dc) {}
43
44
}
QuantLib::Calendar
calendar class
Definition:
calendar.hpp:61
QuantLib::Date
Concrete date class.
Definition:
date.hpp:125
QuantLib::DayCounter
day counter class
Definition:
daycounter.hpp:44
QuantLib::OptionletVolatilityStructure::OptionletVolatilityStructure
OptionletVolatilityStructure(BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
default constructor
Definition:
optionletvolatilitystructure.cpp:25
QuantLib::VolatilityTermStructure
Volatility term structure.
Definition:
voltermstructure.hpp:36
QuantLib::BusinessDayConvention
BusinessDayConvention
Business Day conventions.
Definition:
businessdayconvention.hpp:41
QuantLib::Natural
unsigned QL_INTEGER Natural
positive integer
Definition:
types.hpp:43
QuantLib
Definition:
any.hpp:35
optionletvolatilitystructure.hpp
optionlet (caplet/floorlet) volatility structure
Generated by
Doxygen
1.9.5