NAME

QuantLib::ConstantSwaptionVolatility - Constant swaption volatility, no time-strike dependence.

SYNOPSIS


#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>

Inherits QuantLib::SwaptionVolatilityStructure.

Public Member Functions


ConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc)
floating reference date, floating market data
ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc)
fixed reference date, floating market data
ConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc)
floating reference date, fixed market data
ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc)
fixed reference date, fixed market data

TermStructure interface


Date maxDate () const
the latest date for which the curve can return values

VolatilityTermStructure interface


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

SwaptionVolatilityStructure interface


const Period & maxSwapTenor () const
the largest length for which the term structure can return vols

Protected Member Functions


boost::shared_ptr< SmileSection > smileSectionImpl (const Date &, const Period &) const

boost::shared_ptr< SmileSection > smileSectionImpl (Time, Time) const

Volatility volatilityImpl (const Date &, const Period &, Rate) const

Volatility volatilityImpl (Time, Time, Rate) const

Detailed Description

Constant swaption volatility, no time-strike dependence.

Author

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