Stripped Optionlet Surface. More...

#include <qle/termstructures/datedstrippedoptionlet.hpp>

Inheritance diagram for DatedStrippedOptionlet:

Public Member Functions
	DatedStrippedOptionlet (const Date &referenceDate, const boost::shared_ptr< StrippedOptionletBase > &s)
	Construct from a StrippedOptionletBase object.

	DatedStrippedOptionlet (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const vector< Date > &optionletDates, const vector< vector< Rate > > &strikes, const vector< vector< Volatility > > &volatilities, const vector< Rate > &optionletAtmRates, const DayCounter &dayCounter, VolatilityType type=ShiftedLognormal, Real displacement=0.0)
	Construct from an explicitly provided optionlet surface.

DatedStrippedOptionletBase interface
const vector< Rate > &	optionletStrikes (Size i) const override

const vector< Volatility > &	optionletVolatilities (Size i) const override

const vector< Date > &	optionletFixingDates () const override

const vector< Time > &	optionletFixingTimes () const override

Size	optionletMaturities () const override

const vector< Rate > &	atmOptionletRates () const override

const Date &	referenceDate () const override

const Calendar &	calendar () const override

BusinessDayConvention	businessDayConvention () const override

const DayCounter &	dayCounter () const override

VolatilityType	volatilityType () const override

Real	displacement () const override

LazyObject interface
void	performCalculations () const override

Detailed Description

Stripped Optionlet Surface.

Class to hold a stripped optionlet surface with a fixed reference date and fixed volatilities

Public Member Functions