NAME

QuantLib::StrippedOptionlet -

SYNOPSIS


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

Inherits QuantLib::StrippedOptionletBase.

Public Member Functions


StrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< Date > &optionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed())

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

Detailed Description

Helper class to wrap in a StrippedOptionletBase object a matrix of exogenously calculated optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities).

Author

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