SwaptionVolatilityStructure Class Reference

#include <swaptionvolstructure.hpp>

Inheritance diagram for SwaptionVolatilityStructure:

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List of all members.

Detailed Description

Swaption volatility structure.

This class is purely abstract and defines the interface of concrete swaption volatility structures which will be derived from this one.


Public Member Functions

virtual Date todaysDate () const=0
 returns today's date

virtual DayCounter dayCounter () const=0
 returns the day counter used for internal date/time conversions

double volatility (const Date &start, const Period &length, Rate strike) const
 returns the volatility for a given starting date and length

double volatility (Time start, Time length, Rate strike) const
 returns the volatility for a given starting time and length


Protected Member Functions

virtual double volatilityImpl (Time start, Time length, Rate strike) const=0
 implements the actual volatility calculation in derived classes

virtual std::pair< Time, TimeconvertDates (const Date &start, const Period &length) const
 implements the conversion between dates and times


The documentation for this class was generated from the following file:

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