CapHelper Class Reference
calibration helper for ATM cap More...
#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp>
Inheritance diagram for CapHelper:

Public Member Functions | |
CapHelper (const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError) | |
virtual void | addTimesTo (std::list< Time > ×) const |
virtual Real | modelValue () const |
returns the price of the instrument according to the model | |
virtual Real | blackPrice (Volatility volatility) const |
Black price given a volatility. |
Detailed Description
calibration helper for ATM cap
- Bug:
- This helper does not register with the passed IBOR index and with the evaluation date. Furthermore, the ATM strike rate is not recalculated when any of its observables change.