CapFloorTermVolSurface Class Reference

Cap/floor term-volatility surface. More...

#include <qle/termstructures/capfloortermvolsurface.hpp>

Inheritance diagram for CapFloorTermVolSurface:

Public Member Functions
	CapFloorTermVolSurface (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	default constructor
	CapFloorTermVolSurface (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	initialize with a fixed reference date
	CapFloorTermVolSurface (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	calculate the reference date based on the global evaluation date
const std::vector< QuantLib::Period > &	optionTenors () const
const std::vector< QuantLib::Rate > &	strikes () const

LazyObject interface
std::vector< QuantLib::Period >	optionTenors_
std::vector< QuantLib::Rate >	strikes_
void	update () override
void	performCalculations () const override

Detailed Description

Cap/floor term-volatility surface.

This is a base class and defines the interface of capfloor term surface which will be derived from this one.