sabrstrippedoptionletadapter.hpp File Reference

Convert a StrippedOptionletBase in to an OptionletVolatilityStructure using a SABR model. More...

#include <qle/termstructures/parametricvolatilitysmilesection.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/termstructures/interpolatedcurve.hpp>
#include <ql/termstructures/volatility/flatsmilesection.hpp>
#include <ql/termstructures/volatility/interpolatedsmilesection.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <algorithm>
#include <vector>

Go to the source code of this file.

Classes
class	SabrStrippedOptionletAdapter< TimeInterpolator >

Namespaces
namespace	QuantExt

Detailed Description

Convert a StrippedOptionletBase in to an OptionletVolatilityStructure using a SABR model.

Definition in file sabrstrippedoptionletadapter.hpp.