QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
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
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Member Functions

 OptionletStripper (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &iborIndex_, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >())
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
virtual void performCalculations () const =0
 

Protected Attributes

boost::shared_ptr
< CapFloorTermVolSurface
termVolSurface_
 
boost::shared_ptr< IborIndexiborIndex_
 
Handle< YieldTermStructurediscount_
 
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_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

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