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<li class="navelem"><a class="el" href="class_quant_lib_1_1_cap_pseudo_derivative.html">CapPseudoDerivative</a> </li>
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<div class="title">CapPseudoDerivative Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::CapPseudoDerivative" -->
<p><code>#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp></code></p>
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Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af756570767561f1145bd01177c17c8c1"></a><!-- doxytag: member="QuantLib::CapPseudoDerivative::CapPseudoDerivative" ref="af756570767561f1145bd01177c17c8c1" args="(boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF)" -->
 </td><td class="memItemRight" valign="bottom"><b>CapPseudoDerivative</b> (boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_market_model.html">MarketModel</a> > inputModel, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> startIndex, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> endIndex, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> firstDF)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6f48fc2301b8f7e4a4e0c28e7d55407a"></a><!-- doxytag: member="QuantLib::CapPseudoDerivative::volatilityDerivative" ref="a6f48fc2301b8f7e4a4e0c28e7d55407a" args="(Size i) const " -->
const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> & </td><td class="memItemRight" valign="bottom"><b>volatilityDerivative</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a829a10064ebde805736e1ce3ec8214f8"></a><!-- doxytag: member="QuantLib::CapPseudoDerivative::priceDerivative" ref="a829a10064ebde805736e1ce3ec8214f8" args="(Size i) const " -->
const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> & </td><td class="memItemRight" valign="bottom"><b>priceDerivative</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8ec1750ec5666ad6ac99e955ce196170"></a><!-- doxytag: member="QuantLib::CapPseudoDerivative::impliedVolatility" ref="a8ec1750ec5666ad6ac99e955ce196170" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>impliedVolatility</b> () const </td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>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.</p>
<p>The operation is non-trivial because the cap implied vol has a complicated relationship with the caplet implied vols.</p>
<p>This is tested in the pathwise vegas routine in MarketModels.cpp </p>
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