Term structures for volatilities

[Berardi Luca]

Hi all,

I have a question regarding the classes SwaptionVolatilityMatrix and CapFlatVolatilityVector in QuantLib.
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?

Thanks,

Luca Berardi

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[Luigi Ballabio-2]

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