58 const Date& referenceDate,
Cap/floor term-volatility structure.
ConstantCapFloorTermVolatility(Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc)
floating reference date, floating market data
Volatility volatilityImpl(Time, Rate) const override
implements the actual volatility calculation in derived classes
Handle< Quote > volatility_
Shared handle to an observable.
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
purely virtual base class for market observables
market element returning a stored value
Constant cap/floor term volatility.
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility