Strikes (3) Linux Manual Page

QuantLib::CapFloorTermVolSurface – Cap/floor smile volatility surface.

Synopsis

const std::vector< Period > & optionTenors () const



const std::vector< Date > & optionDates () const



const std::vector< Time > & optionTimes () const



const std::vector< Rate > & strikes () const



Protected Member Functions

Inherits QuantLib::CapFloorTermVolatilityStructure, and QuantLib::LazyObject.

Public Member Functions

const std::vector< Period > & optionTenors () const



const std::vector< Date > & optionDates () const



const std::vector< Time > & optionTimes () const



const std::vector< Rate > & strikes () const



Protected Member Functions

TermStructure interface

Date maxDate () const
the latest date for which the curve can return values VolatilityTermStructure interface

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 LazyObject interface

const std::vector< Period > & optionTenors () const



const std::vector< Date > & optionDates () const



const std::vector< Time > & optionTimes () const



const std::vector< Rate > & strikes () const



Protected Member Functions

some inspectors

const std::vector< Period > & optionTenors () const



const std::vector< Date > & optionDates () const



const std::vector< Time > & optionTimes () const



const std::vector< Rate > & strikes () const



Protected Member Functions

Volatility volatilityImpl (Time t, Rate strike) const
implements the actual volatility calculation in derived classes

Detailed Description

Cap/floor smile volatility surface.

This class provides the volatility for a given cap by interpolating a volatility surface whose elements are the market term volatilities of a set of caps/floors with given length and given strike.

Member Function Documentation

void update () [virtual]

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 LazyObject.

void performCalculations () const [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Author

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strikes (3) Linux Manual Page