QuantLib_VolatilityTermStructure (3) - Linux Manuals

QuantLib_VolatilityTermStructure: Volatility term structure.

NAME

QuantLib::VolatilityTermStructure - Volatility term structure.

SYNOPSIS

#include <ql/termstructures/voltermstructure.hpp>

Inherits QuantLib::TermStructure.

Inherited by BlackAtmVolCurve, BlackVolTermStructure, CapFloorTermVolatilityStructure, LocalVolTermStructure, OptionletVolatilityStructure, and SwaptionVolatilityStructure.

Public Member Functions

virtual BusinessDayConvention businessDayConvention () const
the business day convention used in tenor to date conversion
Date optionDateFromTenor (const Period &) const
period/date conversion
virtual Rate minStrike () const =0
the minimum strike for which the term structure can return vols
virtual Rate maxStrike () const =0
the maximum strike for which the term structure can return vols

Constructors
See the TermStructure documentation for issues regarding constructors.

VolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
default constructor
VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date

Protected Member Functions

void checkStrike (Rate strike, bool extrapolate) const
strike-range check

Detailed Description

Volatility term structure.

This abstract class defines the interface of concrete volatility structures which will be derived from this one.

Constructor & Destructor Documentation

VolatilityTermStructure (const Calendar & cal, BusinessDayConvention bdc, const DayCounter & dc = DayCounter())

default constructor

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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