Cap/floor term-volatility surface. More...
#include <qle/termstructures/capfloortermvolsurface.hpp>
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 |
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.