QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
CapPseudoDerivative Class Reference

#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp>

Public Member Functions

 CapPseudoDerivative (const ext::shared_ptr< MarketModel > &inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF)
 
const MatrixvolatilityDerivative (Size i) const
 
const MatrixpriceDerivative (Size i) const
 
Real impliedVolatility () const
 

Detailed Description

In order to compute market vegas, we need a class that gives the derivative of a cap implied vol against changes in pseudo-root elements. This is that class.

The operation is non-trivial because the cap implied vol has a complicated relationship with the caplet implied vols.

This is tested in the pathwise vegas routine in MarketModels.cpp