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

Public Member Functions | |
| const std::vector< Period > & | optionletFixingTenors () const |
| const std::vector< Date > & | optionletPaymentDates () const |
| const std::vector< Time > & | optionletAccrualPeriods () const |
|
boost::shared_ptr < CapFloorTermVolSurface > | termVolSurface () const |
| boost::shared_ptr< IborIndex > | iborIndex () const |
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 |
Protected Member Functions | |
| OptionletStripper (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &iborIndex_) | |
Protected Attributes | |
|
const boost::shared_ptr < CapFloorTermVolSurface > | termVolSurface_ |
|
const boost::shared_ptr < IborIndex > | iborIndex_ |
| Size | nStrikes_ |
| Size | nOptionletTenors_ |
| std::vector< std::vector< Rate > > | optionletStrikes_ |
|
std::vector< std::vector < Volatility > > | optionletVolatilities_ |
| std::vector< Time > | optionletTimes_ |
| std::vector< Date > | optionletDates_ |
| std::vector< Period > | optionletTenors_ |
| std::vector< Rate > | atmOptionletRate_ |
| std::vector< Date > | optionletPaymentDates_ |
| std::vector< Time > | optionletAccrualPeriods_ |
| std::vector< Period > | capFloorLengths_ |
StrippedOptionletBase specialization. It's up to derived classes to implement LazyObject::performCalculations