26#ifndef quantlib_stripped_optionlet_adapter_h
27#define quantlib_stripped_optionlet_adapter_h
44 const ext::shared_ptr<StrippedOptionletBase>&);
91 inline ext::shared_ptr< OptionletStripper >
93 return ext::dynamic_pointer_cast< OptionletStripper >(
Framework for calculation on demand and result caching.
Optionlet (caplet/floorlet) volatility structure.
void performCalculations() const override
const ext::shared_ptr< StrippedOptionletBase > optionletStripper_
ext::shared_ptr< OptionletStripper > optionletStripper() const
Rate maxStrike() const override
the maximum strike for which the term structure can return vols
Rate minStrike() const override
the minimum strike for which the term structure can return vols
void deepUpdate() override
ext::shared_ptr< SmileSection > smileSectionImpl(Time optionTime) const override
implements the actual smile calculation in derived classes
VolatilityType volatilityType() const override
Volatility volatilityImpl(Time length, Rate strike) const override
implements the actual volatility calculation in derived classes
Date maxDate() const override
the latest date for which the curve can return values
std::vector< ext::shared_ptr< Interpolation > > strikeInterpolations_
Real displacement() const override
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
std::size_t Size
size of a container
base class for 1-D interpolations
optionlet (caplet/floorlet) volatility stripper
optionlet (caplet/floorlet) volatility structure
SABR interpolation interpolation between discrete points.