QuantLib_OptionletStripper1 man page

OptionletStripper1

Synopsis

#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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Feb 10 2017 Version 1.9.1 QuantLib