capFloorVolatilities (3) - Linux Manuals

NAME

QuantLib::OptionletStripper1 -

SYNOPSIS

#include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp>

Inherits QuantLib::OptionletStripper.

Public Member Functions

OptionletStripper1 (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100)

const Matrix & capFloorPrices () const

const Matrix & capFloorVolatilities () const

const Matrix & optionletPrices () const

Rate switchStrike () const

LazyObject interface

void performCalculations () const

Detailed Description

Helper class to strip optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) term volatilities of a CapFloorTermVolSurface.

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

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