DynamicYoYOptionletVolatilitySurface Class Reference

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

#include <qle/termstructures/dynamicyoyoptionletvolatilitystructure.hpp>

Inheritance diagram for DynamicYoYOptionletVolatilitySurface:

Public Member Functions
	DynamicYoYOptionletVolatilitySurface (const QuantLib::ext::shared_ptr< YoYOptionletVolatilitySurface > &source, ReactionToTimeDecay decayMode=ConstantVariance)

Protected Member Functions
Volatility	volatilityImpl (Time optionTime, Rate strike) const override
Rate	minStrike () const override
Rate	maxStrike () const override
Date	maxDate () const override

Detailed Description

Converts YoYOptionletVolatilitySurface 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 YoYOptionletVolatilitySurface has a fixed reference date