QuantLib 0.3.11 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Configuration Usage Frequently asked questions Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

SwaptionVolatilityStructure Class Reference #include <ql/swaptionvolstructure.hpp> Inheritance diagram for SwaptionVolatilityStructure: [legend]List of all members. Detailed Description Swaption-volatility structure This class is purely abstract and defines the interface of concrete swaption volatility structures which will be derived from this one. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors.   SwaptionVolatilityStructure ()   default constructor   SwaptionVolatilityStructure (const Date &referenceDate)   initialize with a fixed reference date   SwaptionVolatilityStructure (Integer settlementDays, const Calendar &)   calculate the reference date based on the global evaluation date Volatility Volatility  volatility (const Date &start, const Period &length, Rate strike, bool extrapolate=false) const   returns the volatility for a given starting date and length Volatility  volatility (Time start, Time length, Rate strike, bool extrapolate=false) const   returns the volatility for a given starting time and length Limits virtual Date  maxStartDate () const =0   the latest start date for which the term structure can return vols virtual Time  maxStartTime () const   the latest start time for which the term structure can return vols virtual Period  maxLength () const =0   the largest length for which the term structure can return vols virtual Time  maxTimeLength () const   the largest length for which the term structure can return vols virtual Real  minStrike () const =0   the minimum strike for which the term structure can return vols virtual Real  maxStrike () const =0   the maximum strike for which the term structure can return vols Protected Member Functions virtual Volatility  volatilityImpl (Time start, Time length, Rate strike) const =0   implements the actual volatility calculation in derived classes virtual std::pair< Time, Time >  convertDates (const Date &start, const Period &length) const   implements the conversion between dates and times Constructor & Destructor Documentation SwaptionVolatilityStructure (   )    default constructor Warning: term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

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