optionletcurve.hpp File Reference

Interpolated one-dimensional curve of optionlet volatilities. More...

#include <ql/math/comparison.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/termstructures/interpolatedcurve.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/utilities/dataformatters.hpp>

Go to the source code of this file.

Classes
class	InterpolatedOptionletCurve< Interpolator >

Namespaces
namespace	QuantExt

Typedefs
typedef InterpolatedOptionletCurve< QuantLib::Linear >	OptionletCurve

Detailed Description

Interpolated one-dimensional curve of optionlet volatilities.

Definition in file optionletcurve.hpp.