QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Public Member Functions | List of all members
StrippedOptionletBase Class Referenceabstract

#include <strippedoptionletbase.hpp>

+ Inheritance diagram for StrippedOptionletBase:
+ Collaboration diagram for StrippedOptionletBase:

Public Member Functions

virtual const std::vector< Rate > & optionletStrikes (Size i) const =0
 
virtual const std::vector< Volatility > & optionletVolatilities (Size i) const =0
 
virtual const std::vector< Date > & optionletFixingDates () const =0
 
virtual const std::vector< Time > & optionletFixingTimes () const =0
 
virtual Size optionletMaturities () const =0
 
virtual const std::vector< Rate > & atmOptionletRates () const =0
 
virtual DayCounter dayCounter () const =0
 
virtual Calendar calendar () const =0
 
virtual Natural settlementDays () const =0
 
virtual BusinessDayConvention businessDayConvention () const =0
 
virtual VolatilityType volatilityType () const =0
 
virtual Real displacement () const =0
 
- Public Member Functions inherited from LazyObject
 LazyObject ()
 
 ~LazyObject () override=default
 
void update () override
 
bool isCalculated () const
 
void forwardFirstNotificationOnly ()
 
void alwaysForwardNotifications ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
virtual void performCalculations () const =0
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

Abstract base class interface for a (time indexed) vector of (strike indexed) optionlet (i.e. caplet/floorlet) volatilities.

Definition at line 45 of file strippedoptionletbase.hpp.

Member Function Documentation

◆ optionletStrikes()

virtual const std::vector< Rate > & optionletStrikes ( Size  i) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ optionletVolatilities()

virtual const std::vector< Volatility > & optionletVolatilities ( Size  i) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ optionletFixingDates()

virtual const std::vector< Date > & optionletFixingDates ( ) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ optionletFixingTimes()

virtual const std::vector< Time > & optionletFixingTimes ( ) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ optionletMaturities()

virtual Size optionletMaturities ( ) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ atmOptionletRates()

virtual const std::vector< Rate > & atmOptionletRates ( ) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ dayCounter()

virtual DayCounter dayCounter ( ) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ calendar()

virtual Calendar calendar ( ) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ settlementDays()

virtual Natural settlementDays ( ) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ businessDayConvention()

virtual BusinessDayConvention businessDayConvention ( ) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ volatilityType()

virtual VolatilityType volatilityType ( ) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.

◆ displacement()

virtual Real displacement ( ) const
pure virtual

Implemented in OptionletStripper, and StrippedOptionlet.