QuantLib 0.3.6 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Deprecated Features

CapFlatVolatilityVector Class Reference #include <ql/Volatilities/capflatvolvector.hpp> Inheritance diagram for CapFlatVolatilityVector: [legend]List of all members. Detailed Description Cap/floor at-the-money flat volatility vector. This class provides the at-the-money volatility for a given cap by interpolating a volatility vector whose elements are the market volatilities of a set of caps/floors with given length. Todo: Either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the length vector but an interpolation pointing to the original ones. Public Member Functions   CapFlatVolatilityVector (const Date &todaysDate, const Calendar &calendar, int settlementDays, const std::vector< Period > &lengths, const std::vector< double > &volatilities, const DayCounter &dayCounter=Thirty360()) Date  todaysDate () const   returns today's date Date  settlementDate () const   returns the settlement date DayCounter  dayCounter () const   returns the day counter used for internal date/time conversions

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