OptionletStripper2 Class Reference

#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp>

Inherits QuantLib::OptionletStripper.

List of all members.

Public Member Functions

 OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve)
std::vector< Rate > atmCapFloorStrikes () const
std::vector< RealatmCapFloorPrices () const
std::vector< VolatilityspreadsVol () 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.