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

The man page CapHelper(3) is an alias of QuantLib_CapHelper(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib