DynamicOptionletVolatilityStructure Class Reference

Converts OptionletVolatilityStructure with fixed reference date into a floating reference date term structure. More...

#include <qle/termstructures/dynamicoptionletvolatilitystructure.hpp>

Inheritance diagram for DynamicOptionletVolatilityStructure:

Public Member Functions
	DynamicOptionletVolatilityStructure (const boost::shared_ptr< OptionletVolatilityStructure > &source, Natural settlementDays, const Calendar &calendar, ReactionToTimeDecay decayMode=ConstantVariance)

Protected Member Functions
OptionletVolatilityStructure interface
boost::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime) const override
Volatility	volatilityImpl (Time optionTime, Rate strike) const override
VolatilityTermStructure interface
Rate	minStrike () const override
Rate	maxStrike () const override
Date	maxDate () const override

Observer interface
void	update () override
VolatilityType	volatilityType () const override
	Override the default implementations in OptionletVolatilityStructure.
Real	displacement () const override

Detailed Description

Converts OptionletVolatilityStructure with fixed reference date into a floating reference date term structure.

Different ways of reacting to time decay can be specified.

Warning:

No checks are performed that the supplied OptionletVolatilityStructure has a fixed reference date

\ingroup termstructures