QuantLib_CapPseudoDerivative man page

CapPseudoDerivative

Synopsis

#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp>

Public Member Functions

CapPseudoDerivative (boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF)
const Matrix & volatilityDerivative (Size i) const
const Matrix & priceDerivative (Size i) const
Real impliedVolatility () const

Detailed Description

In order to compute market vegas, we need a class that gives the derivative of a cap implied vol against changes in pseudo-root elements. This is that class.

The operation is non-trivial because the cap implied vol has a complicated relationship with the caplet implied vols.

This is tested in the pathwise vegas routine in MarketModels.cpp

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

CapPseudoDerivative(3), priceDerivative(3) and volatilityDerivative(3) are aliases of QuantLib_CapPseudoDerivative(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib