- QuantLib
- InterestRateVolSurface
Interest rate volatility (smile) surface. More...
#include <ql/experimental/volatility/interestratevolsurface.hpp>
Public Member Functions | |
const boost::shared_ptr < InterestRateIndex > & | index () const |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
VolatilityTermStructure interface | |
Date | optionDateFromTenor (const Period &) const |
period/date conversion | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Protected Attributes | |
boost::shared_ptr < InterestRateIndex > | index_ |
Interest rate volatility (smile) surface.
This abstract class defines the interface of concrete Interest rate volatility (smile) surfaces which will be derived from this one.
Volatilities are assumed to be expressed on an annual basis.
InterestRateVolSurface | ( | const boost::shared_ptr< InterestRateIndex > & | , |
const Calendar & | cal, | ||
BusinessDayConvention | bdc = Following , |
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const DayCounter & | dc = DayCounter() |
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) |
InterestRateVolSurface | ( | const boost::shared_ptr< InterestRateIndex > & | , |
BusinessDayConvention | bdc = Following , |
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const DayCounter & | dc = DayCounter() |
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) |