QuantLib_ImpliedVolTermStructure (3) - Linux Manuals
QuantLib_ImpliedVolTermStructure: Implied vol term structure at a given date in the future.
QuantLib::ImpliedVolTermStructure - Implied vol term structure at a given date in the future.
Public Member Functions
ImpliedVolTermStructure (const Handle< BlackVolTermStructure > &origTS, const Date &referenceDate)
DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values
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
Protected Member Functions
Implied vol term structure at a given date in the future.
The given date will be the implied reference date.
- This term structure will remain linked to the original structure, i.e., any changes in the latter will be reflected in this structure as well.
- It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only.
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