#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 Matrix & | volatilityDerivative (Size i) const |
const Matrix & | priceDerivative (Size i) const |
Real | impliedVolatility () const |
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