OptionletStripper1 Class Reference

#include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp>

Inheritance diagram for OptionletStripper1:

List of all members.

Public Member Functions

 OptionletStripper1 (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100)
const MatrixcapFloorPrices () const
const MatrixcapFloorVolatilities () const
const MatrixoptionletPrices () const
Rate switchStrike () const
LazyObject interface
void performCalculations () const

Detailed Description

Helper class to strip optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) term volatilities of a CapFloorTermVolSurface.


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.