StrippedOptionlet Class Reference

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

Inheritance diagram for StrippedOptionlet:

List of all members.

Public Member Functions

 StrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< Date > &optionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc)
StrippedOptionletBase interface
const std::vector< Rate > & optionletStrikes (Size i) const
const std::vector< Volatility > & optionletVolatilities (Size i) const
const std::vector< Date > & optionletFixingDates () const
const std::vector< Time > & optionletFixingTimes () const
Size optionletMaturities () const
const std::vector< Rate > & atmOptionletRates () const
DayCounter dayCounter () const
Calendar calendar () const
Natural settlementDays () const
BusinessDayConvention businessDayConvention () const


Detailed Description

Helper class to wrap in a StrippedOptionletBase object a matrix of exogenously calculated optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities).