CapFloorVolCurve Class Reference

#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, QuantLib::ext::shared_ptr< QuantLib::IborIndex > iborIndex, QuantLib::Handle< QuantLib::YieldTermStructure > discountCurve, const QuantLib::ext::shared_ptr< IborIndex > sourceIndex, const QuantLib::ext::shared_ptr< IborIndex > targetIndex, const std::map< std::string, std::pair< QuantLib::ext::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 QuantLib::ext::shared_ptr< QuantLib::OptionletVolatilityStructure > &	capletVolStructure () const
	The result of building the optionlet structure that has been configured.
QuantLib::ext::shared_ptr< IrVolCalibrationInfo >	calibrationInfo () const

Detailed Description

Class for building optionlet volatility structures from cap floor configurations