QuantLib_OptionletStripper2 man page

OptionletStripper2

Synopsis

#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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Jun 2 2017 Version 1.10 QuantLib