#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
StrippedOptionletBase interface | |
ext::shared_ptr< CapFloorTermVolSurface > | termVolSurface_ |
ext::shared_ptr< IborIndex > | iborIndex_ |
Handle< YieldTermStructure > | discount_ |
Size | nStrikes_ |
Size | nOptionletTenors_ |
std::vector< std::vector< Rate > > | optionletStrikes_ |
std::vector< std::vector< Volatility > > | optionletVolatilities_ |
std::vector< Time > | optionletTimes_ |
std::vector< Date > | optionletDates_ |
std::vector< Period > | optionletTenors_ |
std::vector< Rate > | atmOptionletRate_ |
std::vector< Date > | optionletPaymentDates_ |
std::vector< Time > | optionletAccrualPeriods_ |
std::vector< Period > | capFloorLengths_ |
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< CapFloorTermVolSurface > | termVolSurface () const |
ext::shared_ptr< IborIndex > | iborIndex () 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 | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
void | alwaysForwardNotifications () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (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 () |
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virtual void | calculate () const |
virtual void | performCalculations () const =0 |
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bool | calculated_ |
bool | frozen_ |
bool | alwaysForward_ |
StrippedOptionletBase specialization. It's up to derived classes to implement LazyObject::performCalculations