26#ifndef quantlib_optionletstripper_hpp
27#define quantlib_optionletstripper_hpp
64 ext::shared_ptr<IborIndex>
iborIndex()
const;
Cap/floor smile volatility surface.
Shared handle to an observable.
Calendar calendar() const override
std::vector< Rate > atmOptionletRate_
std::vector< std::vector< Volatility > > optionletVolatilities_
const std::vector< Date > & optionletFixingDates() const override
std::vector< Period > capFloorLengths_
ext::shared_ptr< CapFloorTermVolSurface > termVolSurface() const
Handle< YieldTermStructure > discount_
const std::vector< Rate > & optionletStrikes(Size i) const override
ext::shared_ptr< IborIndex > iborIndex_
std::vector< Date > optionletPaymentDates_
std::vector< Time > optionletAccrualPeriods_
const std::vector< Time > & optionletFixingTimes() const override
const std::vector< Date > & optionletPaymentDates() const
const std::vector< Volatility > & optionletVolatilities(Size i) const override
const std::vector< Rate > & atmOptionletRates() const override
std::vector< Period > optionletTenors_
VolatilityType volatilityType() const override
ext::shared_ptr< IborIndex > iborIndex() const
std::vector< Time > optionletTimes_
std::vector< Date > optionletDates_
Natural settlementDays() const override
DayCounter dayCounter() const override
const std::vector< Period > & optionletFixingTenors() const
const VolatilityType volatilityType_
BusinessDayConvention businessDayConvention() const override
std::vector< std::vector< Rate > > optionletStrikes_
Real displacement() const override
ext::shared_ptr< CapFloorTermVolSurface > termVolSurface_
const std::vector< Time > & optionletAccrualPeriods() const
Size optionletMaturities() const override
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
std::size_t Size
size of a container
Interest-rate term structure.