checkStrike (3) Linux Manual Page
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 () constthe 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) conststrike-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.