QuantLib_ConstantYoYOptionletVolatility man page

ConstantYoYOptionletVolatility — Constant surface, no K or T dependence.


#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>

Inherits YoYOptionletVolatilitySurface.

Public Member Functions


ConstantYoYOptionletVolatility (const Volatility v, Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, Rate minStrike=-1.0, Rate maxStrike=100.0)
calculate the reference date based on the global evaluation date


virtual Date maxDate () const
the latest date for which the curve can return values
virtual Real minStrike () const
the minimum strike for which the term structure can return vols
virtual Real maxStrike () const
the maximum strike for which the term structure can return vols

Protected Member Functions

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

Protected Attributes

Volatility volatility_

Rate minStrike_

Rate maxStrike_

Additional Inherited Members

Detailed Description

Constant surface, no K or T dependence.


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Referenced By

ConstantYoYOptionletVolatility(3), maxStrike_(3) and minStrike_(3) are aliases of QuantLib_ConstantYoYOptionletVolatility(3).

QuantLib Version 1.8.1 Fri Sep 23 2016