QuantLib_StrippedOptionletBase man page

StrippedOptionletBase

Synopsis

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

Inherits LazyObject.

Inherited by OptionletStripper, and StrippedOptionlet.

Public Member Functions

virtual const std::vector< Rate > & optionletStrikes (Size i) const =0
virtual const std::vector< Volatility > & optionletVolatilities (Size i) const =0
virtual const std::vector< Date > & optionletFixingDates () const =0
virtual const std::vector< Time > & optionletFixingTimes () const =0
virtual Size optionletMaturities () const =0
virtual const std::vector< Rate > & atmOptionletRates () const =0
virtual DayCounter dayCounter () const =0
virtual Calendar calendar () const =0
virtual Natural settlementDays () const =0
virtual BusinessDayConvention businessDayConvention () const =0
virtual VolatilityType volatilityType () const =0
virtual Real displacement () const =0

Additional Inherited Members

Detailed Description

Abstract base class interface for a (time indexed) vector of (strike indexed) optionlet (i.e. caplet/floorlet) volatilities.

Author

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Info

Fri Feb 10 2017 Version 1.9.1 QuantLib