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