QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
List of all members
OptionletStripper Class Reference

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

+ Inheritance diagram for OptionletStripper:

StrippedOptionletBase interface

ext::shared_ptr< CapFloorTermVolSurfacetermVolSurface_
 
ext::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_
 
const VolatilityType volatilityType_
 
const Real displacement_
 
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
 
const std::vector< Period > & optionletFixingTenors () const
 
const std::vector< Date > & optionletPaymentDates () const
 
const std::vector< Time > & optionletAccrualPeriods () const
 
ext::shared_ptr< CapFloorTermVolSurfacetermVolSurface () const
 
ext::shared_ptr< IborIndexiborIndex () const
 
Real displacement () const
 
VolatilityType volatilityType () const
 
 OptionletStripper (const ext::shared_ptr< CapFloorTermVolSurface > &, const ext::shared_ptr< IborIndex > &iborIndex_, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), VolatilityType type=ShiftedLognormal, Real displacement=0.0)
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
void alwaysForwardNotifications ()
 
- 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< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
virtual void performCalculations () const =0
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 
bool alwaysForward_
 

Detailed Description

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