#include <ored/marketdata/capfloorvolcurve.hpp>
Public Member Functions | |
CapFloorVolCurve () | |
Default constructor. | |
CapFloorVolCurve (const QuantLib::Date &asof, const CapFloorVolatilityCurveSpec &spec, const Loader &loader, const CurveConfigurations &curveConfigs, boost::shared_ptr< QuantLib::IborIndex > iborIndex, QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve, const boost::shared_ptr< IborIndex > sourceIndex, const boost::shared_ptr< IborIndex > targetIndex, const std::map< std::string, std::pair< boost::shared_ptr< ore::data::CapFloorVolCurve >, std::pair< std::string, QuantLib::Period >>> &requiredCapFloorVolCurves, const bool buildCalibrationInfo) | |
Detailed constructor. | |
Inspectors | |
const CapFloorVolatilityCurveSpec & | spec () const |
The cap floor curve specification. | |
const boost::shared_ptr< QuantLib::OptionletVolatilityStructure > & | capletVolStructure () const |
The result of building the optionlet structure that has been configured. | |
boost::shared_ptr< IrVolCalibrationInfo > | calibrationInfo () const |
Class for building optionlet volatility structures from cap floor configurations