SwaptionVolatilityStructure Class Reference
#include <ql/swaptionvolstructure.hpp>
Inheritance diagram for SwaptionVolatilityStructure:
Detailed Description
Swaption-volatility structureThis class is purely abstract and defines the interface of concrete swaption volatility structures which will be derived from this one.
Public Member Functions | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| SwaptionVolatilityStructure () | |
| default constructor | |
| SwaptionVolatilityStructure (const Date &referenceDate) | |
| initialize with a fixed reference date | |
| SwaptionVolatilityStructure (Integer settlementDays, const Calendar &) | |
| calculate the reference date based on the global evaluation date | |
Volatility | |
| Volatility | volatility (const Date &start, const Period &length, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given starting date and length | |
| Volatility | volatility (Time start, Time length, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given starting time and length | |
Limits | |
| virtual Date | maxStartDate () const =0 |
| the latest start date for which the term structure can return vols | |
| virtual Time | maxStartTime () const |
| the latest start time for which the term structure can return vols | |
| virtual Period | maxLength () const =0 |
| the largest length for which the term structure can return vols | |
| virtual Time | maxTimeLength () const |
| the largest length for which the term structure can return vols | |
| virtual Real | minStrike () const =0 |
| the minimum strike for which the term structure can return vols | |
| virtual Real | maxStrike () const =0 |
| the maximum strike for which the term structure can return vols | |
Protected Member Functions | |
| virtual Volatility | volatilityImpl (Time start, Time length, Rate strike) const =0 |
| implements the actual volatility calculation in derived classes | |
| virtual std::pair< Time, Time > | convertDates (const Date &start, const Period &length) const |
| implements the conversion between dates and times | |
Constructor & Destructor Documentation
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default constructor
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