QuantLib 0.3.3
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Introduction to QuantLib
QuantLib components
Reference manual
CapFlatVolatilityVector Class Reference
#include <capflatvolvector.hpp>
Inheritance diagram for CapFlatVolatilityVector:
Detailed Description
Cap/floor at-the-money flat volatility vector.This class provides the at-the-money volatility for a given cap by interpolating a volatility vector whose elements are the market volatilities of a set of caps/floors with given length.
- Todo:
- Either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the length vector but an interpolation pointing to the original ones.
Public Member Functions | |
| CapFlatVolatilityVector (const Date &todaysDate, const Calendar &calendar, int settlementDays, const std::vector< Period > &lengths, const std::vector< double > &volatilities, const DayCounter &dayCounter=DayCounters::Thirty360()) | |
| Date | todaysDate () const |
| returns today's date | |
| Date | settlementDate () const |
| returns the settlement date | |
| DayCounter | dayCounter () const |
| returns the day counter used for internal date/time conversions | |
The documentation for this class was generated from the following file:
- ql/Volatilities/capflatvolvector.hpp
