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QuantLib_OptionletStripper2
Langue: en
Version: 384078 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::OptionletStripper2 -SYNOPSIS
#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp>
Inherits QuantLib::OptionletStripper.
Public Member Functions
OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve)
std::vector< Rate > atmCapFloorStrikes () const
std::vector< Real > atmCapFloorPrices () const
std::vector< Volatility > spreadsVol () const
LazyObject interface
void performCalculations () const
Detailed Description
Helper class to extend an OptionletStripper1 object stripping additional optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) At-The-Money term volatilities of a CapFloorTermVolCurve.
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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