QuantLib_VolatilityTermStructure man page
VolatilityTermStructure — Volatility term structure.
Inherited by BlackAtmVolCurve, BlackVolTermStructure, CapFloorTermVolatilityStructure, CPIVolatilitySurface, LocalVolTermStructure, OptionletVolatilityStructure, SwaptionVolatilityStructure, and YoYOptionletVolatilitySurface.
Public Member Functions
virtual BusinessDayConvention businessDayConvention () const
the business day convention used in tenor to date conversion
Date optionDateFromTenor (const Period &) const
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
See the TermStructure documentation for issues regarding constructors.
VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
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
Additional Inherited Members
Volatility term structure.
This abstract class defines the interface of concrete volatility structures which will be derived from this one.
Constructor & Destructor Documentation
VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter & dc = DayCounter())
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Generated automatically by Doxygen for QuantLib from the source code.
VolatilityTermStructure(3) is an alias of QuantLib_VolatilityTermStructure(3).