volatilityDerivative (3) - Linux Man Pages


QuantLib::CapPseudoDerivative -


#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp>

Public Member Functions

CapPseudoDerivative (boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF)

const Matrix & volatilityDerivative (Size i) const

const Matrix & priceDerivative (Size i) const

Real impliedVolatility () const

Detailed Description

In order to compute market vegas, we need a class that gives the derivative of a cap implied vol against changes in pseudo-root elements. This is that class.

The operation is non-trivial because the cap implied vol has a complicated relationship with the caplet implied vols.

This is tested in the pathwise vegas routine in MarketModels.cpp


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