OptionletStripper1 Class Reference

#include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp>

Inheritance diagram for OptionletStripper1:

List of all members.

Public Member Functions
	OptionletStripper1 (const boost::shared_ptr< CapFloorTermVolSurface > &, const boost::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100)
const Matrix &	capFloorPrices () const
const Matrix &	capFloorVolatilities () const
const Matrix &	optionletPrices () const
Rate	switchStrike () const
LazyObject interface
void	performCalculations () const

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Detailed Description

Helper class to strip optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) term volatilities of a CapFloorTermVolSurface.

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Member Function Documentation

void performCalculations

(

)

const [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.