OptionletStripper2 (3) - Linux Manuals
NAME
QuantLib::OptionletStripper2 -
SYNOPSIS
#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp>
Inherits QuantLib::OptionletStripper.
Public Member Functions
OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve)
std::vector< Rate > atmCapFloorStrikes () const
std::vector< Real > atmCapFloorPrices () const
std::vector< Volatility > spreadsVol () const
LazyObject interface
void performCalculations () const
Detailed Description
Helper class to extend an OptionletStripper1 object stripping additional optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) At-The-Money term volatilities of a CapFloorTermVolCurve.
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.
Author
Generated automatically by Doxygen for QuantLib from the source code.