QuantLib 0.3.7
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CapletForwardVolatilityStructure Class Reference
#include <ql/capvolstructures.hpp>
Inheritance diagram for CapletForwardVolatilityStructure:
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 | |
| Volatility | volatility (const Date &start, Rate strike) const |
| returns the volatility for a given start date and strike rate | |
| Volatility | volatility (Time t, Rate strike) const |
| returns the volatility for a given start time and strike rate | |
Protected Member Functions | |
| virtual Volatility | volatilityImpl (Time length, Rate strike) const =0 |
| implements the actual volatility calculation in derived classes | |
