QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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strippedoptionletbase.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007 Ferdinando Ametrano
5 Copyright (C) 2007 Giorgio Facchinetti
6 Copyright (C) 2015 Peter Caspers
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file strippedoptionletbase.hpp
23
24*/
25
26#ifndef quantlib_strippedoptionletbase_hpp
27#define quantlib_strippedoptionletbase_hpp
28
31#include <ql/types.hpp>
33
34#include <vector>
35
36namespace QuantLib {
37
38 class Date;
39 class Calendar;
40 class DayCounter;
41
42 /*! Abstract base class interface for a (time indexed) vector of (strike
43 indexed) optionlet (i.e. caplet/floorlet) volatilities.
44 */
46 public:
47 virtual const std::vector<Rate>& optionletStrikes(Size i) const = 0;
48 virtual const std::vector<Volatility>& optionletVolatilities(Size i) const = 0;
49
50 virtual const std::vector<Date>& optionletFixingDates() const = 0;
51 virtual const std::vector<Time>& optionletFixingTimes() const = 0;
52 virtual Size optionletMaturities() const = 0;
53
54 virtual const std::vector<Rate>& atmOptionletRates() const = 0;
55
56 virtual DayCounter dayCounter() const = 0;
57 virtual Calendar calendar() const = 0;
58 virtual Natural settlementDays() const = 0;
60 virtual VolatilityType volatilityType() const = 0;
61 virtual Real displacement() const = 0;
62 };
63
64}
65
66#endif
BusinessDayConvention enumeration.
calendar class
Definition: calendar.hpp:61
day counter class
Definition: daycounter.hpp:44
Framework for calculation on demand and result caching.
Definition: lazyobject.hpp:35
virtual Calendar calendar() const =0
virtual BusinessDayConvention businessDayConvention() const =0
virtual const std::vector< Time > & optionletFixingTimes() const =0
virtual const std::vector< Rate > & optionletStrikes(Size i) const =0
virtual Natural settlementDays() const =0
virtual VolatilityType volatilityType() const =0
virtual const std::vector< Date > & optionletFixingDates() const =0
virtual Real displacement() const =0
virtual DayCounter dayCounter() const =0
virtual Size optionletMaturities() const =0
virtual const std::vector< Volatility > & optionletVolatilities(Size i) const =0
virtual const std::vector< Rate > & atmOptionletRates() const =0
BusinessDayConvention
Business Day conventions.
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
std::size_t Size
size of a container
Definition: types.hpp:58
framework for calculation on demand and result caching
Definition: any.hpp:35
Custom types.
volatility types