SwaptionConstantVolatility Class Reference
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
Inheritance diagram for SwaptionConstantVolatility:

Detailed Description
Constant swaption volatility, no time-strike dependence.SwaptionConstantVolatility interface | |
| const Period & | maxSwapTenor () const |
| the largest length for which the term structure can return vols | |
| Time | maxSwapLength () const |
| the largest swapLength for which the term structure can return vols | |
| 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 | |
| Volatility | volatilityImpl (Time, Time, Rate) const |
| implements the actual volatility calculation in derived classes | |
| boost::shared_ptr< SmileSection > | smileSectionImpl (Time optionTime, Time swapLength) const |
| return smile section | |
| Volatility | volatilityImpl (const Date &, const Period &, Rate) const |
Public Member Functions | |
| SwaptionConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) | |
| SwaptionConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
| SwaptionConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) | |
| SwaptionConstantVolatility (Natural settlementDays, const Calendar &, const Handle< Quote > &volatility, const DayCounter &dayCounter) | |
TermStructure interface | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |