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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html">OptionletVolatilityStructure</a></div>
<h1>OptionletVolatilityStructure Class Reference</h1><!-- doxytag: class="QuantLib::OptionletVolatilityStructure" --><!-- doxytag: inherits="QuantLib::VolatilityTermStructure" --><code>#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for OptionletVolatilityStructure:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_optionlet_volatility_structure__inherit__graph.png" border="0" usemap="#_optionlet_volatility_structure__inherit__map" alt="Inheritance graph"></center>
<map name="_optionlet_volatility_structure__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_constant_optionlet_vol.html" title="Constant caplet volatility, no time-strike dependence." alt="" coords="24,161,181,188"><area shape="rect" href="class_quant_lib_1_1_volatility_term_structure.html" title="Volatility term structure." alt="" coords="20,7,185,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_optionlet_volatility_structure-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Optionlet (caplet/floorlet) volatility structure.
<p>
This class is purely abstract and defines the interface of concrete structures which will be derived from this one. <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText">See the TermStructure documentation for issues regarding constructors. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#ff62704fe8094ac0505211906be8f5a5">OptionletVolatilityStructure</a> (const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">default constructor <a href="#ff62704fe8094ac0505211906be8f5a5"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9f6d48c7ef4fae05123e02b46b4127f0"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::OptionletVolatilityStructure" ref="9f6d48c7ef4fae05123e02b46b4127f0" args="(const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#9f6d48c7ef4fae05123e02b46b4127f0">OptionletVolatilityStructure</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal=<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>(), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">initialize with a fixed reference date <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="90f8174436762b8db11a2629e5132c89"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::OptionletVolatilityStructure" ref="90f8174436762b8db11a2629e5132c89" args="(Natural settlementDays, const Calendar &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#90f8174436762b8db11a2629e5132c89">OptionletVolatilityStructure</a> (<a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &, <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">calculate the reference date based on the global evaluation date <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Volatility and Variance</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0516b391808f90bd32f780f021afd3a"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::volatility" ref="b0516b391808f90bd32f780f021afd3a" args="(const Date &exerciseDate, Rate strike, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#b0516b391808f90bd32f780f021afd3a">volatility</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &exerciseDate, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> strike, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the volatility for a given exercise date and strike rate <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d6581b343c19b58d18e3b643265f4f57"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::volatility" ref="d6581b343c19b58d18e3b643265f4f57" args="(const Period &optionTenor, Rate strike, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#d6581b343c19b58d18e3b643265f4f57">volatility</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &optionTenor, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> strike, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the volatility for a given option tenor and strike rate <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8c3285fcf4b32b98557cd4270e77bdae"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::volatility" ref="8c3285fcf4b32b98557cd4270e77bdae" args="(Time t, Rate strike, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#8c3285fcf4b32b98557cd4270e77bdae">volatility</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> strike, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the volatility for a given exercise time and strike rate <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="73954e71358943031db572e569ddb387"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::blackVariance" ref="73954e71358943031db572e569ddb387" args="(const Date &exerciseDate, Rate strike, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#73954e71358943031db572e569ddb387">blackVariance</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &exerciseDate, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> strike, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the Black variance for a given exercise date and strike rate <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0f1a175def194bff80de961ac8a74d7"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::blackVariance" ref="b0f1a175def194bff80de961ac8a74d7" args="(const Period &optionTenor, Rate strike, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#b0f1a175def194bff80de961ac8a74d7">blackVariance</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &optionTenor, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> strike, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the Black variance for a given option tenor and strike rate <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a7367e5a72e9f1b0f7b7fa43da267173"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::blackVariance" ref="a7367e5a72e9f1b0f7b7fa43da267173" args="(Time t, Rate strike, bool extrapolate=false) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#a7367e5a72e9f1b0f7b7fa43da267173">blackVariance</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> strike, bool extrapolate=false) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the Black variance for a given start time and strike rate <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Limits</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1a0b4386bde01c8cc2678dc87489fcd9"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::minStrike" ref="1a0b4386bde01c8cc2678dc87489fcd9" args="() const =0" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#1a0b4386bde01c8cc2678dc87489fcd9">minStrike</a> () const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the minimum strike for which the term structure can return vols <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ede5e93dcaf5b7de1d5ffd4a773cd803"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::maxStrike" ref="ede5e93dcaf5b7de1d5ffd4a773cd803" args="() const =0" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#ede5e93dcaf5b7de1d5ffd4a773cd803">maxStrike</a> () const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the maximum strike for which the term structure can return vols <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="36e205184c11421c639d90ff127f482a"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::volatilityImpl" ref="36e205184c11421c639d90ff127f482a" args="(Time length, Rate strike) const =0" -->
virtual <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html#36e205184c11421c639d90ff127f482a">volatilityImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> length, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> strike) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">implements the actual volatility calculation in derived classes <br></td></tr>
</table>
<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="ff62704fe8094ac0505211906be8f5a5"></a><!-- doxytag: member="QuantLib::OptionletVolatilityStructure::OptionletVolatilityStructure" ref="ff62704fe8094ac0505211906be8f5a5" args="(const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_optionlet_volatility_structure.html">OptionletVolatilityStructure</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> & </td>
<td class="paramname"> <em>cal</em> = <code><a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a>()</code>, </td>
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<td class="paramtype"><a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td>
<td class="paramname"> <em>bdc</em> = <code>Following</code>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"> <em>dc</em> = <code><a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>()</code></td><td> </td>
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<td>)</td>
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<p>
default constructor
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000098">Warning:</a></b></dt><dd>term structures initialized by means of this constructor must manage their own reference date by overriding the <a class="el" href="class_quant_lib_1_1_term_structure.html#a9ae6cc6009ac64d4f265065eab08be0" title="the date at which discount = 1.0 and/or variance = 0.0">referenceDate()</a> method. </dd></dl>
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