VolatilityInterpolationSpecifier Class Reference

#include <volatilityinterpolationspecifier.hpp>

Inheritance diagram for VolatilityInterpolationSpecifier:

Collaboration diagram for VolatilityInterpolationSpecifier:

Public Member Functions
	VolatilityInterpolationSpecifier ()=default
virtual	~VolatilityInterpolationSpecifier ()=default
virtual void	setScalingFactors (const std::vector< Real > &scales)=0
virtual void	setLastCapletVol (Real vol)=0
virtual const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &	interpolatedVariances () const =0
virtual const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &	originalVariances () const =0
virtual Size	getPeriod () const =0
virtual Size	getOffset () const =0
virtual Size	getNoBigRates () const =0
virtual Size	getNoSmallRates () const =0

Detailed Description

Definition at line 39 of file volatilityinterpolationspecifier.hpp.

Constructor & Destructor Documentation

VolatilityInterpolationSpecifier()

VolatilityInterpolationSpecifier ( )

default

~VolatilityInterpolationSpecifier()

virtual ~VolatilityInterpolationSpecifier ( )

virtualdefault

Member Function Documentation

setScalingFactors()

virtual void setScalingFactors ( const std::vector< Real > &  scales )

pure virtual

Implemented in VolatilityInterpolationSpecifierabcd.

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setLastCapletVol()

virtual void setLastCapletVol ( Real  vol )

pure virtual

Implemented in VolatilityInterpolationSpecifierabcd.

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interpolatedVariances()

virtual const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > & interpolatedVariances ( ) const

pure virtual

Implemented in VolatilityInterpolationSpecifierabcd.

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originalVariances()

virtual const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > & originalVariances ( ) const

pure virtual

Implemented in VolatilityInterpolationSpecifierabcd.

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getPeriod()

virtual Size getPeriod ( ) const

pure virtual

Implemented in VolatilityInterpolationSpecifierabcd.

getOffset()

virtual Size getOffset ( ) const

pure virtual

Implemented in VolatilityInterpolationSpecifierabcd.

getNoBigRates()

virtual Size getNoBigRates ( ) const

pure virtual

Implemented in VolatilityInterpolationSpecifierabcd.

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getNoSmallRates()

virtual Size getNoSmallRates ( ) const

pure virtual

Implemented in VolatilityInterpolationSpecifierabcd.