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<!-- doxytag: class="QuantLib::VolatilityTermStructure" --><!-- doxytag: inherits="QuantLib::TermStructure" -->
<p>Volatility term structure.
<a href="class_quant_lib_1_1_volatility_term_structure.html#details">More...</a></p>
<p><code>#include <ql/termstructures/voltermstructure.hpp></code></p>
<div class="dynheader">
Inheritance diagram for VolatilityTermStructure:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_volatility_term_structure__inherit__graph.png" border="0" usemap="#_volatility_term_structure_inherit__map" alt="Inheritance graph"/></div>
<map name="_volatility_term_structure_inherit__map" id="_volatility_term_structure_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_black_atm_vol_curve.html" title="Black at-the-money (no-smile) volatility curve." alt="" coords="397,5,528,35"/><area shape="rect" id="node7" href="class_quant_lib_1_1_black_vol_term_structure.html" title="Black-volatility term structure." alt="" coords="385,58,540,89"/><area shape="rect" id="node9" href="class_quant_lib_1_1_cap_floor_term_volatility_structure.html" title="Cap/floor term-volatility structure." alt="" coords="360,111,565,142"/><area shape="rect" id="node11" href="class_quant_lib_1_1_c_p_i_volatility_surface.html" title="zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures" alt="" coords="395,165,531,195"/><area shape="rect" id="node13" href="class_quant_lib_1_1_local_vol_term_structure.html" title="LocalVolTermStructure" alt="" coords="387,218,539,249"/><area shape="rect" id="node15" href="class_quant_lib_1_1_optionlet_volatility_structure.html" title="Optionlet (caplet/floorlet) volatility structure." alt="" coords="375,271,551,302"/><area shape="rect" id="node17" href="class_quant_lib_1_1_swaption_volatility_structure.html" title="Swaption-volatility structure" alt="" coords="375,325,551,355"/><area shape="rect" id="node19" href="class_quant_lib_1_1_yo_y_optionlet_volatility_surface.html" title="YoYOptionletVolatilitySurface" alt="" coords="368,378,557,409"/><area shape="rect" id="node2" href="class_quant_lib_1_1_term_structure.html" title="Basic term-structure functionality." alt="" coords="5,191,109,222"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_volatility_term_structure-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9d653d6960e5abf8a835f24fd9beb685"></a><!-- doxytag: member="QuantLib::VolatilityTermStructure::businessDayConvention" ref="a9d653d6960e5abf8a835f24fd9beb685" args="() const " -->
virtual <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a9d653d6960e5abf8a835f24fd9beb685">businessDayConvention</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the business day convention used in tenor to date conversion <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af59f60f1e0a7875cd8c4e97c3e50f8fd"></a><!-- doxytag: member="QuantLib::VolatilityTermStructure::optionDateFromTenor" ref="af59f60f1e0a7875cd8c4e97c3e50f8fd" args="(const Period &) const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#af59f60f1e0a7875cd8c4e97c3e50f8fd">optionDateFromTenor</a> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">period/date conversion <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaa54e38ec0aabcec3de3342602c4015f"></a><!-- doxytag: member="QuantLib::VolatilityTermStructure::minStrike" ref="aaa54e38ec0aabcec3de3342602c4015f" args="() const =0" -->
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#aaa54e38ec0aabcec3de3342602c4015f">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" align="right" valign="top"><a class="anchor" id="a50d3c0b68286f6b64878e8c785822805"></a><!-- doxytag: member="QuantLib::VolatilityTermStructure::maxStrike" ref="a50d3c0b68286f6b64878e8c785822805" args="() const =0" -->
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a50d3c0b68286f6b64878e8c785822805">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"><div class="groupHeader">Constructors</div></td></tr>
<tr><td colspan="2"><div class="groupText"><p>See the <a class="el" href="class_quant_lib_1_1_term_structure.html" title="Basic term-structure functionality.">TermStructure</a> documentation for issues regarding constructors. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a5f30fa48a97a7299157730452b4034e6">VolatilityTermStructure</a> (const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a6dde14edb40ab23fb1ea553c516d56f3">VolatilityTermStructure</a> (<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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="memItemLeft" align="right" valign="top"><a class="anchor" id="a313b93ad25131868d6ecba5dd642741d"></a><!-- doxytag: member="QuantLib::VolatilityTermStructure::VolatilityTermStructure" ref="a313b93ad25131868d6ecba5dd642741d" args="(const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a313b93ad25131868d6ecba5dd642741d">VolatilityTermStructure</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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" align="right" valign="top"><a class="anchor" id="a82bd61e80d4c1bf9e22b55917fe18cd6"></a><!-- doxytag: member="QuantLib::VolatilityTermStructure::VolatilityTermStructure" ref="a82bd61e80d4c1bf9e22b55917fe18cd6" args="(Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a82bd61e80d4c1bf9e22b55917fe18cd6">VolatilityTermStructure</a> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> <a class="el" href="class_quant_lib_1_1_term_structure.html#ab6506da60fec85c6f146f1b43116de70">settlementDays</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &cal, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9bf3c3b4a973237738c770a8f9b520e9"></a><!-- doxytag: member="QuantLib::VolatilityTermStructure::checkStrike" ref="a9bf3c3b4a973237738c770a8f9b520e9" args="(Rate strike, bool extrapolate) const " -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html#a9bf3c3b4a973237738c770a8f9b520e9">checkStrike</a> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike, bool extrapolate) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">strike-range check <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Volatility term structure. </p>
<p>This abstract class defines the interface of concrete volatility structures which will be derived from this one. </p>
</div><hr/><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" id="a5f30fa48a97a7299157730452b4034e6"></a><!-- doxytag: member="QuantLib::VolatilityTermStructure::VolatilityTermStructure" ref="a5f30fa48a97a7299157730452b4034e6" args="(const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())" -->
<div class="memitem">
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<td class="memname"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html">VolatilityTermStructure</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>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td>
<td class="paramname"><em>bdc</em>, </td>
</tr>
<tr>
<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>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td>
</tr>
</table>
</div>
<div class="memdoc">
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000131">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#aa9ae6cc6009ac64d4f265065eab08be0" title="the date at which discount = 1.0 and/or variance = 0.0">referenceDate()</a> method. </dd></dl>
</div>
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<a class="anchor" id="a6dde14edb40ab23fb1ea553c516d56f3"></a><!-- doxytag: member="QuantLib::VolatilityTermStructure::VolatilityTermStructure" ref="a6dde14edb40ab23fb1ea553c516d56f3" args="(BusinessDayConvention bdc, const DayCounter &dc=DayCounter())" -->
<div class="memitem">
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<td class="memname"><a class="el" href="class_quant_lib_1_1_volatility_term_structure.html">VolatilityTermStructure</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td>
<td class="paramname"><em>bdc</em>, </td>
</tr>
<tr>
<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>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td>
</tr>
</table>
</div>
<div class="memdoc">
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000132">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#aa9ae6cc6009ac64d4f265065eab08be0" title="the date at which discount = 1.0 and/or variance = 0.0">referenceDate()</a> method. </dd></dl>
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