QuantLib_CapPseudoDerivative man page
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
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
Generated automatically by Doxygen for QuantLib from the source code.
CapPseudoDerivative(3), priceDerivative(3) and volatilityDerivative(3) are aliases of QuantLib_CapPseudoDerivative(3).