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)