27#ifndef quantlib_cap_volatility_vector_hpp
28#define quantlib_cap_volatility_vector_hpp
66 const std::vector<Volatility>& vols,
73 const std::vector<Volatility>& vols,
120 mutable std::vector<Volatility>
vols_;
Actual/365 (Fixed) day counter.
cap/floor term-volatility structure
Actual/365 (Fixed) day count convention.
Cap/floor at-the-money term-volatility vector.
CapFloorTermVolCurve(const CapFloorTermVolCurve &)=delete
std::vector< Date > optionDates_
void registerWithMarketData()
void performCalculations() const override
CapFloorTermVolCurve & operator=(CapFloorTermVolCurve &&)=delete
Real minStrike() const override
the minimum strike for which the term structure can return vols
Interpolation interpolation_
const std::vector< Period > & optionTenors() const
const std::vector< Time > & optionTimes() const
std::vector< Time > optionTimes_
Date maxDate() const override
the latest date for which the curve can return values
const std::vector< Date > & optionDates() const
std::vector< Period > optionTenors_
std::vector< Volatility > vols_
CapFloorTermVolCurve & operator=(const CapFloorTermVolCurve &)=delete
CapFloorTermVolCurve(CapFloorTermVolCurve &&)=delete
void initializeOptionDatesAndTimes() const
Real maxStrike() const override
the maximum strike for which the term structure can return vols
std::vector< Handle< Quote > > volHandles_
Volatility volatilityImpl(Time length, Rate) const override
implements the actual volatility calculation in derived classes
~CapFloorTermVolCurve() override=default
Cap/floor term-volatility structure.
Shared handle to an observable.
base class for 1-D interpolations.
Framework for calculation on demand and result caching.
virtual void calculate() const
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
virtual Calendar calendar() const
the calendar used for reference and/or option date calculation
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
std::size_t Size
size of a container
base class for 1-D interpolations
framework for calculation on demand and result caching
purely virtual base class for market observables