capfloorvolcurve.cpp File Reference

#include <ored/marketdata/capfloorvolcurve.hpp>
#include <ored/marketdata/marketdatumparser.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/parsers.hpp>
#include <ored/utilities/to_string.hpp>
#include <qle/instruments/makeoiscapfloor.hpp>
#include <qle/interpolators/optioninterpolator2d.hpp>
#include <qle/math/flatextrapolation.hpp>
#include <qle/models/carrmadanarbitragecheck.hpp>
#include <qle/termstructures/capfloortermvolsurface.hpp>
#include <qle/termstructures/capfloortermvolsurfacesparse.hpp>
#include <qle/termstructures/datedstrippedoptionlet.hpp>
#include <qle/termstructures/datedstrippedoptionletadapter.hpp>
#include <qle/termstructures/optionletstripper1.hpp>
#include <qle/termstructures/optionletstripper2.hpp>
#include <qle/termstructures/optionletstripperwithatm.hpp>
#include <qle/termstructures/piecewiseatmoptionletcurve.hpp>
#include <qle/termstructures/piecewiseoptionletstripper.hpp>
#include <qle/termstructures/proxyoptionletvolatility.hpp>
#include <qle/termstructures/sabrstrippedoptionletadapter.hpp>
#include <qle/termstructures/strippedoptionletadapter.hpp>
#include <qle/utilities/cashflows.hpp>
#include <ql/math/comparison.hpp>
#include <ql/math/matrix.hpp>
#include <ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>

Go to the source code of this file.

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Typedefs
typedef ore::data::CapFloorVolatilityCurveConfig::VolatilityType	CfgVolType
typedef ore::data::CapFloorVolatilityCurveConfig::Type	CfgType
typedef QuantExt::CapFloorTermVolSurfaceExact::InterpolationMethod	CftvsInterp

Functions
bool	interpOnOpt (CapFloorVolatilityCurveConfig &config)

Typedef Documentation

CfgVolType

typedef ore::data::CapFloorVolatilityCurveConfig::VolatilityType CfgVolType

Definition at line 53 of file capfloorvolcurve.cpp.

CfgType

typedef ore::data::CapFloorVolatilityCurveConfig::Type CfgType

Definition at line 54 of file capfloorvolcurve.cpp.

CftvsInterp

typedef QuantExt::CapFloorTermVolSurfaceExact::InterpolationMethod CftvsInterp

Definition at line 55 of file capfloorvolcurve.cpp.