QuantLib_CapHelper (3) Linux Manual Page

QuantLib::CapHelper – calibration helper for ATM cap

Synopsis

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

Inherits QuantLib::CalibrationHelper.

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, bool calibrateVolatility=false)

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.

Author

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