optionletstripperwithatm.hpp File Reference

Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor volatilities. More...

#include <qle/termstructures/capfloortermvolcurve.hpp>
#include <qle/termstructures/optionletstripper.hpp>
#include <qle/termstructures/spreadedoptionletvolatility.hpp>
#include <qle/termstructures/strippedoptionletadapter.hpp>
#include <qle/cashflows/blackovernightindexedcouponpricer.hpp>
#include <qle/instruments/makeoiscapfloor.hpp>
#include <ql/instruments/capfloor.hpp>
#include <ql/instruments/makecapfloor.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/pricingengines/capfloor/bacheliercapfloorengine.hpp>
#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>

Classes
class	OptionletStripperWithAtm< TimeInterpolator, SmileInterpolator >

Detailed Description

Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor volatilities.