OptionletStripper Class Reference

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

Inheritance diagram for OptionletStripper:

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< IborIndexiborIndex () 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< TimeoptionletTimes_
 
std::vector< DateoptionletDates_
 
std::vector< PeriodoptionletTenors_
 
std::vector< RateatmOptionletRate_
 
std::vector< DateoptionletPaymentDates_
 
std::vector< TimeoptionletAccrualPeriods_
 
std::vector< PeriodcapFloorLengths_
 

Detailed Description

StrippedOptionletBase specialization. It's up to derived classes to implement LazyObject::performCalculations