SwaptionVolatilityStructure Class Reference#include <swaptionvolstructure.hpp>
Inheritance diagram for SwaptionVolatilityStructure:
[legend]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.
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Public Member Functions |
virtual Date | todaysDate () const=0 |
| returns today's date
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virtual DayCounter | dayCounter () const=0 |
| returns the day counter used for internal date/time conversions
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double | volatility (const Date &start, const Period &length, Rate strike) const |
| returns the volatility for a given starting date and length
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double | volatility (Time start, Time length, Rate strike) const |
| returns the volatility for a given starting time and length
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Protected Member Functions |
virtual double | volatilityImpl (Time start, Time length, Rate strike) const=0 |
| implements the actual volatility calculation in derived classes
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virtual std::pair< Time, Time > | convertDates (const Date &start, const Period &length) const |
| implements the conversion between dates and times
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The documentation for this class was generated from the following file:
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