QuantLib_CapHelper man page
CapHelper — calibration helper for ATM cap
Synopsis
#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp>
Inherits CalibrationHelper.
Public Member Functions
CapHelper (const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)
virtual void addTimesTo (std::list< Time > ×) const
virtual Real modelValue () const
returns the price of the instrument according to the model
virtual Real blackPrice (Volatility volatility) const
Black or Bachelier price given a volatility.
Additional Inherited Members
Detailed Description
calibration helper for ATM cap
Author
Generated automatically by Doxygen for QuantLib from the source code.
Referenced By
The man page CapHelper(3) is an alias of QuantLib_CapHelper(3).