QuantLib_ConstantCapFloorTermVolatility man page

ConstantCapFloorTermVolatility — Constant caplet volatility, no time-strike dependence.

Synopsis

#include <ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp>

Inherits CapFloorTermVolatilityStructure.

Public Member Functions

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

Protected Member Functions

Volatility volatilityImpl (Time, Rate) const
implements the actual volatility calculation in derived classes

Additional Inherited Members

Detailed Description

Constant caplet volatility, no time-strike dependence.

Author

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Referenced By

ConstantCapFloorTermVolatility(3) is an alias of QuantLib_ConstantCapFloorTermVolatility(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib