- QuantLib
- ConstantYoYOptionletVolatility
Constant surface, no K or T dependence. More...
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
Public Member Functions | |
Constructor | |
ConstantYoYOptionletVolatility (const Volatility v, Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, Rate minStrike=-1.0, Rate maxStrike=100.0) | |
calculate the reference date based on the global evaluation date | |
Limits | |
virtual Date | maxDate () const |
the latest date for which the curve can return values | |
virtual Real | minStrike () const |
the minimum strike for which the term structure can return vols | |
virtual Real | maxStrike () const |
the maximum strike for which the term structure can return vols | |
Protected Member Functions | |
virtual Volatility | volatilityImpl (Time length, Rate strike) const |
implements the actual volatility calculation in derived classes | |
Protected Attributes | |
Volatility | volatility_ |
Rate | minStrike_ |
Rate | maxStrike_ |
Constant surface, no K or T dependence.