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optionletstripper1.hpp
Langue: en
Version: 382770 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/termstructures/volatility/optionlet/optionletstripper1.hpp -optionlet (caplet/floorlet) volatility stripper
SYNOPSIS
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
Classes
class OptionletStripper1
Typedefs
typedef std::vector< std::vector< boost::shared_ptr< CapFloor > > > CapFloorMatrix
Detailed Description
optionlet (caplet/floorlet) volatility stripper
Author
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