QuantLib_OptionletStripper1 man page



#include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp>

Inherits OptionletStripper.

Public Member Functions

OptionletStripper1 (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), const VolatilityType type=ShiftedLognormal, const Real displacement=0.0, bool dontThrow=false)
const Matrix & capFloorPrices () const
const Matrix & capletVols () const
const Matrix & capFloorVolatilities () const
const Matrix & optionletPrices () const
Rate switchStrike () const

LazyObject interface

void performCalculations () const

Additional Inherited Members

Detailed Description

Helper class to strip optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) term volatilities of a CapFloorTermVolSurface.

Member Function Documentation

void performCalculations () const [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.


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Referenced By

The man pages capFloorPrices(3), capFloorVolatilities(3), capletVols(3), optionletPrices(3), OptionletStripper1(3) and switchStrike(3) are aliases of QuantLib_OptionletStripper1(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib