QuantLib: CapFloorTermVolSurface Class Reference

### A free/open-source library for quantitative finance

# CapFloorTermVolSurface Class Reference

`#include <ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp>`

Inheritance diagram for CapFloorTermVolSurface:

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List of all members.

## Detailed Description

Cap/floor smile volatility surface.

This class provides the volatility for a given cap by interpolating a volatility surface whose elements are the market term volatilities of a set of caps/floors with given length and given strike.

## Public Member Functions
| CapFloorTermVolSurface (Natural settlementDays, const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed())
| floating reference date, floating market data
| CapFloorTermVolSurface (const Date &settlementDate, const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed())
| fixed reference date, floating market data
| CapFloorTermVolSurface (const Date &settlementDate, const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed())
| fixed reference date, fixed market data
| CapFloorTermVolSurface (Natural settlementDays, const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, BusinessDayConvention bdc=Following, const DayCounter &dc=Actual365Fixed())
| floating reference date, fixed market data
TermStructure interface
Date | maxDate () const
| the latest date for which the curve can return values
CapFloorTermVolatilityStructure interface
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
LazyObject interface
void | update ()
void | performCalculations () const
some inspectors
const std::vector< Period > & | optionTenors () const
const std::vector< Date > & | optionDates () const
const std::vector< Time > & | optionTimes () const
const std::vector< Rate > & | strikes () const
## Protected Member Functions
Volatility | volatilityImpl (Time t, Rate strike) const
| implements the actual volatility calculation in derived classes

## Member Function Documentation

void update | ( |  | ) | `[virtual]`

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

void performCalculations | ( |  | ) | const`[virtual]`

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.