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Reference manual - version ored_version
Public Member Functions | List of all members
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, 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 CapFloorVolatilityCurveSpecspec () 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< IrVolCalibrationInfocalibrationInfo () const
 

Detailed Description

Class for building optionlet volatility structures from cap floor configurations