QuantLib_StrippedOptionlet man page



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

Inherits StrippedOptionletBase.

Public Member Functions

StrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< Date > &optionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0)
VolatilityType volatilityType () const
Real displacement () 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

Additional Inherited Members

Detailed Description

Helper class to wrap in a StrippedOptionletBase object a matrix of exogenously calculated optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities).


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Referenced By

The man page StrippedOptionlet(3) is an alias of QuantLib_StrippedOptionlet(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib