PiecewiseOptionletCurve< Interpolator, Bootstrap > Class Template Reference

Inheritance diagram for PiecewiseOptionletCurve< Interpolator, Bootstrap >:

Public Types
typedef PiecewiseOptionletCurve< Interpolator, Bootstrap >	this_curve
typedef QuantLib::BootstrapHelper< QuantLib::OptionletVolatilityStructure >	helper
typedef OptionletTraits	traits_type
	Bootstrap needs these typedefs.
typedef Interpolator	interpolator_type

Public Member Functions
Constructors
	PiecewiseOptionletCurve (const QuantLib::Date &referenceDate, const std::vector< boost::shared_ptr< helper > > &instruments, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &i=Interpolator(), const Bootstrap< this_curve > &bootstrap=Bootstrap< this_curve >())
	PiecewiseOptionletCurve (QuantLib::Natural settlementDays, const std::vector< boost::shared_ptr< helper > > &instruments, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &i=Interpolator(), const Bootstrap< this_curve > &bootstrap=Bootstrap< this_curve >())
TermStructure interface
QuantLib::Date	maxDate () const override
InterpolatedOptionletCurve interface
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Date > &	dates () const
const std::vector< QuantLib::Real > &	volatilities () const
std::vector< std::pair< QuantLib::Date, QuantLib::Real > >	nodes () const
Public Member Functions inherited from InterpolatedOptionletCurve< Interpolator >
	InterpolatedOptionletCurve (const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &volatilities, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, const QuantLib::Calendar &calendar=QuantLib::Calendar(), QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
QuantLib::Date	maxDate () const override
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override
QuantLib::VolatilityType	volatilityType () const override
QuantLib::Real	displacement () const override
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Date > &	dates () const
const std::vector< QuantLib::Real > &	volatilities () const
const std::vector< QuantLib::Real > &	data () const
std::vector< std::pair< QuantLib::Date, QuantLib::Real > >	nodes () const

Observer interface
void	update () override

OptionletVolatilityStructure interface
class	Bootstrap< this_curve >
class	BootstrapError< this_curve >
class	PenaltyFunction< this_curve >

Additional Inherited Members
Protected Member Functions inherited from InterpolatedOptionletCurve< Interpolator >
boost::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (QuantLib::Time optionTime) const override
QuantLib::Real	volatilityImpl (QuantLib::Time optionTime, QuantLib::Rate strike) const override
	InterpolatedOptionletCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
	InterpolatedOptionletCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
	InterpolatedOptionletCurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
Protected Attributes inherited from InterpolatedOptionletCurve< Interpolator >
std::vector< QuantLib::Date >	dates_
	The fixing dates of the index underlying the optionlets.