QuantLib 0.3.11
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Reference manual
CapVolatilityVector Class Reference
#include <ql/Volatilities/capflatvolvector.hpp>
Inheritance diagram for CapVolatilityVector:
Detailed Description
Cap/floor at-the-money term-volatility vector.This class provides the at-the-money volatility for a given cap by interpolating a volatility vector whose elements are the market volatilities of a set of caps/floors with given length.
- Todo:
- either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the length vector but an interpolation pointing to the original ones.
Public Member Functions | |
| CapVolatilityVector (const Date &settlementDate, const std::vector< Period > &lengths, const std::vector< Volatility > &volatilities, const DayCounter &dayCounter) | |
| CapVolatilityVector (Integer settlementDays, const Calendar &calendar, const std::vector< Period > &lengths, const std::vector< Volatility > &volatilities, const DayCounter &dayCounter) | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Date | maxDate () const |
| the latest date for which the term structure can return vols | |
| Time | maxTime () const |
| the latest time for which the term structure can return vols | |
| Real | minStrike () const |
| the minimum strike for which the term structure can return vols | |
| Real | maxStrike () const |
| the maximum strike for which the term structure can return vols | |
| void | update () |
Member Function Documentation
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This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes. Reimplemented from TermStructure. |
