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

Inheritance diagram for OptionletStripper:

List of all members.

Public Member Functions

const std::vector< Period > & optionletFixingTenors () const
const std::vector< Date > & optionletPaymentDates () const
const std::vector< Time > & optionletAccrualPeriods () const
boost::shared_ptr
< CapFloorTermVolSurface
termVolSurface () const
boost::shared_ptr< IborIndexiborIndex () const
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

Protected Member Functions

 OptionletStripper (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &iborIndex_)

Protected Attributes

const boost::shared_ptr
< CapFloorTermVolSurface
termVolSurface_
const boost::shared_ptr
< IborIndex
iborIndex_
Size nStrikes_
Size nOptionletTenors_
std::vector< std::vector< Rate > > optionletStrikes_
std::vector< std::vector
< Volatility > > 
optionletVolatilities_
std::vector< TimeoptionletTimes_
std::vector< DateoptionletDates_
std::vector< PeriodoptionletTenors_
std::vector< RateatmOptionletRate_
std::vector< DateoptionletPaymentDates_
std::vector< TimeoptionletAccrualPeriods_
std::vector< PeriodcapFloorLengths_

Detailed Description

StrippedOptionletBase specialization. It's up to derived classes to implement LazyObject::performCalculations