ConstantOptionletVolatility Class Reference
Constant caplet volatility, no time-strike dependence. More...
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
Inheritance diagram for ConstantOptionletVolatility:

Public Member Functions | |
| ConstantOptionletVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) | |
| floating reference date, floating market data | |
| ConstantOptionletVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) | |
| fixed reference date, floating market data | |
| ConstantOptionletVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc) | |
| floating reference date, fixed market data | |
| ConstantOptionletVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc) | |
| fixed reference date, fixed market data | |
TermStructure interface | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
VolatilityTermStructure interface | |
| Real | minStrike () const |
| the minimum strike for which the term structure can return vols | |
| Real | maxStrike () const |
| the maximum strike for which the term structure can return vols | |
Protected Member Functions | |
| boost::shared_ptr< SmileSection > | smileSectionImpl (const Date &d) const |
| boost::shared_ptr< SmileSection > | smileSectionImpl (Time) const |
| implements the actual smile calculation in derived classes | |
| Volatility | volatilityImpl (Time, Rate) const |
| implements the actual volatility calculation in derived classes | |
Detailed Description
Constant caplet volatility, no time-strike dependence.- Examples: