R: Term structures for volatilities

[Berardi Luca]

Perfectly clear!
Thanks again.
Luca

-----Messaggio originale-----
Da: Luigi Ballabio [[hidden email]]
Inviato: mercoledì 31 marzo 2004 11:26
A: Berardi Luca
Cc: Quantlib-Users (E-mail)
Oggetto: Re: [Quantlib-users] Term structures for volatilities

On 2004.03.31 11:03, Berardi Luca wrote:
> I have a question regarding the classes SwaptionVolatilityMatrix and
> CapFlatVolatilityVector in QuantLib.

Which should be rewritten. Too little time, too much to do...

> They both derive the volatility(...) method from the corresponding
> base classes and give a concrete implementations by means of the 
> private method volatilityImpl(...); However, volatilityImpl(...) 
> accepts as third argument 'strike' of the type 'Rate', but it is by 
> no means used in the implementation of the method.
> Why is this?

In the methods defined in the base classes, it makes sense to get the 
strike as an argument since the volatilities might be smiled. In 
SwaptionVolatilityMatrix and CapFlatVolatilityVector, they are not 
smiled (the matrix is a matrix and not a cube, and the vector is a 
vector and not a matrix) therefore the strike is not used. However, C++ 
rules require that the signature of their methods be the same declared 
in the base class, otherwise the virtual function mechanism would not 
work.

HTH,
        Luigi

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