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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_cap_helper.html">CapHelper</a> </li>
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<!-- doxytag: class="QuantLib::CapHelper" --><!-- doxytag: inherits="QuantLib::CalibrationHelper" -->
<p>calibration helper for ATM cap
<a href="class_quant_lib_1_1_cap_helper.html#details">More...</a></p>
<p><code>#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp></code></p>
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Inheritance diagram for CapHelper:</div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_calibration_helper.html" title="liquid market instrument used during calibration" alt="" coords="5,6,125,37"/></map>
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<p><a href="class_quant_lib_1_1_cap_helper-members.html">List of all members.</a></p>
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Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad609e5c96b766cbcd4b63c6ad1f14bcf"></a><!-- doxytag: member="QuantLib::CapHelper::CapHelper" ref="ad609e5c96b766cbcd4b63c6ad1f14bcf" args="(const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)" -->
 </td><td class="memItemRight" valign="bottom"><b>CapHelper</b> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &length, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &volatility, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &index, <a class="el" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada">Frequency</a> fixedLegFrequency, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &fixedLegDayCounter, bool includeFirstSwaplet, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af4e5312442df0cb0ab6cccc66fb7bf6e"></a><!-- doxytag: member="QuantLib::CapHelper::addTimesTo" ref="af4e5312442df0cb0ab6cccc66fb7bf6e" args="(std::list< Time > &times) const " -->
virtual void </td><td class="memItemRight" valign="bottom"><b>addTimesTo</b> (std::list< <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > &times) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a03d4abdfc2297309ddc7bcb7b2df2ef4"></a><!-- doxytag: member="QuantLib::CapHelper::modelValue" ref="a03d4abdfc2297309ddc7bcb7b2df2ef4" args="() const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_helper.html#a03d4abdfc2297309ddc7bcb7b2df2ef4">modelValue</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the price of the instrument according to the model <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a722ad9621557c52aa1b7e1e6f7308424"></a><!-- doxytag: member="QuantLib::CapHelper::blackPrice" ref="a722ad9621557c52aa1b7e1e6f7308424" args="(Volatility volatility) const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_helper.html#a722ad9621557c52aa1b7e1e6f7308424">blackPrice</a> (<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> volatility) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Black price given a volatility. <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>calibration helper for ATM cap </p>
<dl class="bug"><dt><b><a class="el" href="bug.html#_bug000005">Bug:</a></b></dt><dd>This helper does not register with the passed IBOR index and with the evaluation date. Furthermore, the ATM strike rate is not recalculated when any of its observables change. </dd></dl>
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