spreadedoptionletvolatility2.hpp File Reference

Optionlet volatility with overlayed bilinearly interpolated spread surface. More...

#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/quote.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <boost/smart_ptr/shared_ptr.hpp>

Go to the source code of this file.

Classes
class	SpreadedOptionletVolatility2

Namespaces
namespace	QuantExt

Detailed Description

Optionlet volatility with overlayed bilinearly interpolated spread surface.

Definition in file spreadedoptionletvolatility2.hpp.