volatilityDerivative (3) - Linux Manuals
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
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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