VolatilityTermStructure Class Reference
#include <ql/termstructures/voltermstructure.hpp>
Inheritance diagram for VolatilityTermStructure:

Detailed Description
Volatility term structure.This abstract class defines the interface of concrete volatility structures which will be derived from this one.
Public Member Functions | |
| BusinessDayConvention | businessDayConvention () const |
| the business day convention used in tenor to date conversion | |
| Date | optionDateFromTenor (const Period &) const |
| tenor to date conversion | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| VolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| default constructor | |
| VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
Constructor & Destructor Documentation
| VolatilityTermStructure | ( | const Calendar & | cal, | |
| BusinessDayConvention | bdc = Following, |
|||
| const DayCounter & | dc = DayCounter() | |||
| ) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.