QuantLib_CapletVarianceCurve (3) - Linux Man Pages


QuantLib::CapletVarianceCurve -


#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


use the StrippedOptionletAdapter of a StrippedOptionlet instance


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