QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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capfloortermvolatilitystructure.cpp
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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
22
23namespace QuantLib {
24
27 const DayCounter& dc)
28 : VolatilityTermStructure(bdc, dc) {}
29
31 const Date& refDate,
32 const Calendar& cal,
34 const DayCounter& dc)
35 : VolatilityTermStructure(refDate, cal, bdc, dc) {}
36
38 Natural settlementDays,
39 const Calendar& cal,
41 const DayCounter& dc)
42 : VolatilityTermStructure(settlementDays, cal, bdc, dc) {}
43
44}
cap/floor term-volatility structure
calendar class
Definition: calendar.hpp:61
CapFloorTermVolatilityStructure(BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
Volatility term structure.
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Definition: any.hpp:35