InterestRateVolSurface (3) - Linux Manuals
InterestRateVolSurface: Interest rate volatility (smile) surface.
NAME
QuantLib::InterestRateVolSurface - Interest rate volatility (smile) surface.
SYNOPSIS
#include <ql/experimental/volatility/interestratevolsurface.hpp>
Inherits QuantLib::BlackVolSurface.
Inherited by SabrVolSurface.
Public Member Functions
const boost::shared_ptr< InterestRateIndex > & index () const
Constructors
See the TermStructure documentation for issues regarding constructors.
InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date
VolatilityTermStructure interface
Date optionDateFromTenor (const Period &) const
period/date conversion
Visitability
virtual void accept (AcyclicVisitor &)
Protected Attributes
boost::shared_ptr< InterestRateIndex > index_
Detailed Description
Interest rate volatility (smile) surface.
This abstract class defines the interface of concrete Interest rate volatility (smile) surfaces which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
Constructor & Destructor Documentation
InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Calendar & cal = Calendar(), BusinessDayConvention bdc = Following, const DayCounter & dc = DayCounter())
Warning
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Author
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