QuantLib_OptionletStripper man page

OptionletStripper —


#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


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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 23 2016 Version 1.8.1 QuantLib