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

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) | |
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 |
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).