OptionletStripper1 Class Reference
#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.