CapletVarianceCurve (3) - Linux Manuals
NAME
QuantLib::CapletVarianceCurve -
SYNOPSIS
#include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp>
Inherits QuantLib::OptionletVolatilityStructure.
Public Member Functions
CapletVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &capletVolCurve, const DayCounter &dayCounter)
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
TermStructure interface
DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values
Protected Member Functions
boost::shared_ptr< SmileSection > smileSectionImpl (Time t) const
implements the actual smile calculation in derived classes
Volatility volatilityImpl (Time t, Rate) const
implements the actual volatility calculation in derived classes
Detailed Description
Deprecated
- use the StrippedOptionletAdapter of a StrippedOptionlet instance
Author
Generated automatically by Doxygen for QuantLib from the source code.