QuantLib_OptionletStripper man page

OptionletStripper

Synopsis

#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>

Inherits StrippedOptionletBase.

Inherited by OptionletStripper1, and OptionletStripper2.

Public Member Functions

const std::vector< Period > & optionletFixingTenors () const
const std::vector< Date > & optionletPaymentDates () const
const std::vector< Time > & optionletAccrualPeriods () const
boost::shared_ptr< CapFloorTermVolSurface > termVolSurface () const
boost::shared_ptr< IborIndex > iborIndex () const
Real displacement () const
VolatilityType volatilityType () const

StrippedOptionletBase interface

const std::vector< Rate > & optionletStrikes (Size i) const
const std::vector< Volatility > & optionletVolatilities (Size i) const
const std::vector< Date > & optionletFixingDates () const
const std::vector< Time > & optionletFixingTimes () const
Size optionletMaturities () const
const std::vector< Rate > & atmOptionletRates () const
DayCounter dayCounter () const
Calendar calendar () const
Natural settlementDays () const
BusinessDayConvention businessDayConvention () const

Protected Member Functions

OptionletStripper (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &iborIndex_, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), const VolatilityType type=ShiftedLognormal, const Real displacement=0.0)

Protected Attributes

boost::shared_ptr< CapFloorTermVolSurface > termVolSurface_
boost::shared_ptr< IborIndex > iborIndex_
Handle< YieldTermStructure > discount_
Size nStrikes_
Size nOptionletTenors_
std::vector< std::vector< Rate > > optionletStrikes_
std::vector< std::vector< Volatility > > optionletVolatilities_
std::vector< Time > optionletTimes_
std::vector< Date > optionletDates_
std::vector< Period > optionletTenors_
std::vector< Rate > atmOptionletRate_
std::vector< Date > optionletPaymentDates_
std::vector< Time > optionletAccrualPeriods_
std::vector< Period > capFloorLengths_
const VolatilityType volatilityType_
const Real displacement_

Additional Inherited Members

Detailed Description

StrippedOptionletBase specialization. It's up to derived classes to implement LazyObject::performCalculations

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages atmOptionletRate_(3), atmOptionletRates(3), capFloorLengths_(3), displacement_(3), nOptionletTenors_(3), nStrikes_(3), optionletAccrualPeriods(3), optionletAccrualPeriods_(3), optionletDates_(3), optionletFixingDates(3), optionletFixingTenors(3), optionletFixingTimes(3), optionletMaturities(3), optionletPaymentDates(3), optionletPaymentDates_(3), optionletStrikes(3), optionletStrikes_(3), OptionletStripper(3), optionletTenors_(3), optionletTimes_(3), optionletVolatilities(3), optionletVolatilities_(3), termVolSurface(3) and termVolSurface_(3) are aliases of QuantLib_OptionletStripper(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib