CapletForwardVolatilityStructure Class Reference

#include <capvolstructures.hpp>

Inheritance diagram for CapletForwardVolatilityStructure:

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List of all members.

Detailed Description

Caplet/floorlet forward volatility structure.

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


Public Member Functions

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

virtual Date settlementDate () const=0
 returns the settlement date

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

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

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


Protected Member Functions

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


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

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