CapFloorTermVolCurve Class Reference

#include <qle/termstructures/capfloortermvolcurve.hpp>

Inheritance diagram for CapFloorTermVolCurve:

Public Member Functions
Constructors
	CapFloorTermVolCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	CapFloorTermVolCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	CapFloorTermVolCurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	calculate the reference date based on the global evaluation date
virtual std::vector< QuantLib::Period >	optionTenors () const =0
	Return the tenors used in the CapFloorTermVolCurve.

Detailed Description

Cap floor term volatility curve. Abstract base class for one dimensional curve of cap floor volatilities.

Member Function Documentation

optionTenors()

virtual std::vector< QuantLib::Period > optionTenors ( ) const

pure virtual

Return the tenors used in the CapFloorTermVolCurve.

Implemented in InterpolatedCapFloorTermVolCurve< Interpolator >.