OptionletStripper1 Class Reference

#include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp>

Inheritance diagram for OptionletStripper1:

Public Member Functions

 OptionletStripper1 (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100)
 
const MatrixcapFloorPrices () const
 
const MatrixcapFloorVolatilities () const
 
const MatrixoptionletPrices () const
 
Rate switchStrike () 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 strip optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) term volatilities of a CapFloorTermVolSurface.

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.