capfloormatrix(3)

ql/termstructures/volatility/optionlet/optionletstripper1.hpp – optionlet (caplet/floorlet) volatility stripper

Synopsis

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

Classes

class OptionletStripper1

Typedefs

typedef std::vector< std::vector< boost::shared_ptr< CapFloor > > > CapFloorMatrix

Detailed Description

optionlet (caplet/floorlet) volatility stripper

Author

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