OptionletStripper2::ObjectiveFunction Class Reference

Collaboration diagram for OptionletStripper2::ObjectiveFunction:

Public Member Functions
	ObjectiveFunction (const ext::shared_ptr< OptionletStripper1 > &, ext::shared_ptr< CapFloor >, Real targetValue)
Real	operator() (Volatility spreadVol) const

Private Attributes
ext::shared_ptr< SimpleQuote >	spreadQuote_
ext::shared_ptr< CapFloor >	cap_
Real	targetValue_

Detailed Description

Definition at line 61 of file optionletstripper2.hpp.

Constructor & Destructor Documentation

ObjectiveFunction()

ObjectiveFunction	(	const ext::shared_ptr< OptionletStripper1 > &	optionletStripper1,
		ext::shared_ptr< CapFloor >	cap,
		Real	targetValue
	)

Definition at line 156 of file optionletstripper2.cpp.

Member Function Documentation

operator()()

Real operator()

(

Volatility

spreadVol

)

const

Definition at line 181 of file optionletstripper2.cpp.

Member Data Documentation

spreadQuote_

ext::shared_ptr<SimpleQuote> spreadQuote_

private

Definition at line 68 of file optionletstripper2.hpp.

cap_

ext::shared_ptr<CapFloor> cap_

private

Definition at line 69 of file optionletstripper2.hpp.

targetValue_

Real targetValue_

private

Definition at line 70 of file optionletstripper2.hpp.