1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file strippedoptionletbase.hpp
*/
#ifndef quantlib_strippedoptionletbase_hpp
#define quantlib_strippedoptionletbase_hpp
#include <ql/patterns/lazyobject.hpp>
#include <ql/time/businessdayconvention.hpp>
#include <ql/types.hpp>
#include <vector>
namespace QuantLib {
class Date;
class Calendar;
class DayCounter;
/*! Abstract base class interface for a (time indexed) vector of (strike
indexed) optionlet (i.e. caplet/floorlet) volatilities.
*/
class StrippedOptionletBase : public LazyObject {
public:
virtual const std::vector<Rate>& optionletStrikes(Size i) const = 0;
virtual const std::vector<Volatility>& optionletVolatilities(Size i) const = 0;
virtual const std::vector<Date>& optionletFixingDates() const = 0;
virtual const std::vector<Time>& optionletFixingTimes() const = 0;
virtual Size optionletMaturities() const = 0;
virtual const std::vector<Rate>& atmOptionletRates() const = 0;
virtual DayCounter dayCounter() const = 0;
virtual Calendar calendar() const = 0;
virtual Natural settlementDays() const = 0;
virtual BusinessDayConvention businessDayConvention() const = 0;
};
}
#endif
|
