OptionletStripper2 Class Reference

#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp>

Inheritance diagram for OptionletStripper2:

Public Member Functions

 OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve)
 
std::vector< RateatmCapFloorStrikes () const
 
std::vector< RealatmCapFloorPrices () const
 
std::vector< VolatilityspreadsVol () const
 
LazyObject interface
void performCalculations () const
 
- Public Member Functions inherited from OptionletStripper
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
 
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
 

Additional Inherited Members

- Protected Member Functions inherited from OptionletStripper
 OptionletStripper (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &iborIndex_)
 
- Protected Attributes inherited from OptionletStripper
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

Helper class to extend an OptionletStripper1 object stripping additional optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) At-The-Money term volatilities of a CapFloorTermVolCurve.

Member Function Documentation

void performCalculations ( ) const
virtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.