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

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