strippedoptionletadapter2.hpp File Reference

StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrapolation) More...

#include <ql/math/interpolation.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>

Go to the source code of this file.

Classes
class	StrippedOptionletAdapter2

Namespaces
namespace	QuantExt

Detailed Description

StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrapolation)

Definition in file strippedoptionletadapter2.hpp.