CapPseudoDerivative Class Reference

#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp>

List of all members.

Public Member Functions

 CapPseudoDerivative (boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF)
const MatrixvolatilityDerivative (Size i) const
const MatrixpriceDerivative (Size i) const
Real impliedVolatility () const

Detailed Description

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.

The operation is non-trivial because the cap implied vol has a complicated relationship with the caplet implied vols.

This is tested in the pathwise vegas routine in MarketModels.cpp