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 > &times) 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

CapHelper(3) is an alias of QuantLib_CapHelper(3).

Fri Jun 2 2017 Version 1.10 QuantLib