CapHelper Class Reference

calibration helper for ATM cap More...

#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp>

Inheritance diagram for CapHelper:

List of all members.

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 > &times) 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.