ql/termstructures/volatilities/capletvolatilitiesstructures.hpp File Reference
Detailed Description
Caplet Volatilities Structures used during bootstrapping procedure.
#include <ql/capvolstructures.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
Include dependency graph for capletvolatilitiesstructures.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | DecInterpCapletVolStructure |
this class is interpolating caplets volatilities linealy in two steps (instead of More... | |
Typedefs | |
typedef std::vector< boost::shared_ptr< SmileSection > > | SmileSectionInterfaceVector |
typedef std::vector< std::vector< boost::shared_ptr< CapFloor > > > | CapMatrix |
typedef std::vector< Handle< SmileSection > > | SmileSectionInterfaceHandlesVector |
Functions | |
Real | linearInterpolation (Real x, Real x1, Real x2, Real y1, Real y2) |