QuantLib_OptionletStripper2 man page



#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp>

Inherits OptionletStripper.

Public Member Functions

OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve)
std::vector< Rate > atmCapFloorStrikes () const
std::vector< Real > atmCapFloorPrices () const
std::vector< Volatility > spreadsVol () const

LazyObject interface

void performCalculations () const

Additional Inherited Members

Detailed Description

Helper class to extend an OptionletStripper1 object stripping additional optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) At-The-Money term volatilities of a CapFloorTermVolCurve.

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 atmCapFloorPrices(3), atmCapFloorStrikes(3), OptionletStripper2(3) and spreadsVol(3) are aliases of QuantLib_OptionletStripper2(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib