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QuantLib_StrippedOptionletBase
Langue: en
Version: 373743 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::StrippedOptionletBase -SYNOPSIS
#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
Inherits QuantLib::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
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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Contenus ©2006-2024 Benjamin Poulain
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