- QuantLib
- OptionletStripper2
#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp>
Public Member Functions | |
OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve) | |
std::vector< Rate > | atmCapFloorStrikes () const |
std::vector< Real > | atmCapFloorPrices () const |
std::vector< Volatility > | spreadsVol () const |
LazyObject interface | |
void | performCalculations () const |
Helper class to extend an OptionletStripper1 object stripping additional optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) At-The-Money term volatilities of a CapFloorTermVolCurve.
void performCalculations | ( | ) | const [virtual] |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.