QuantLib_StrippedOptionlet man page

StrippedOptionlet

Synopsis

#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).

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

StrippedOptionlet(3) is an alias of QuantLib_StrippedOptionlet(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib