QuantLib: CapFloorTermVolatilityStructure Class Reference

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

# CapFloorTermVolatilityStructure Class Reference

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

Inheritance diagram for CapFloorTermVolatilityStructure:

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List of all members.

## Detailed Description

Cap/floor term-volatility structure.

This class is purely abstract and defines the interface of concrete structures which will be derived from this one.

## Public Member Functions
Constructors
See the TermStructure documentation for issues regarding constructors.
| CapFloorTermVolatilityStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| default constructor
| CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| initialize with a fixed reference date
| CapFloorTermVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
| calculate the reference date based on the global evaluation date
Volatility
Volatility | volatility (const Period &length, Rate strike, bool extrapolate=false) const
| returns the volatility for a given cap/floor length and strike rate
Volatility | volatility (const Date &end, Rate strike, bool extrapolate=false) const
Volatility | volatility (Time t, Rate strike, bool extrapolate=false) const
| returns the volatility for a given end time and strike rate
Limits
virtual Real | minStrike () const =0
| the minimum strike for which the term structure can return vols
virtual Real | maxStrike () const =0
| the maximum strike for which the term structure can return vols
## Protected Member Functions
virtual Volatility | volatilityImpl (Time length, Rate strike) const =0
| implements the actual volatility calculation in derived classes

## Constructor & Destructor Documentation

CapFloorTermVolatilityStructure | ( | const Calendar & | cal = `Calendar()`,
|  | 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.