CapletVarianceCurve Class Reference
#include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp>
Inheritance diagram for CapletVarianceCurve:

Public Member Functions | |
| CapletVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &capletVolCurve, const DayCounter &dayCounter) | |
| 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 | |
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 | |
Protected Member Functions | |
| boost::shared_ptr< SmileSection > | smileSectionImpl (Time t) const |
| implements the actual smile calculation in derived classes | |
| Volatility | volatilityImpl (Time t, Rate) const |
| implements the actual volatility calculation in derived classes | |
Detailed Description
- Deprecated:
- use the StrippedOptionletAdapter of a StrippedOptionlet instance