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| DatedStrippedOptionlet (const Date &referenceDate, const QuantLib::ext::shared_ptr< StrippedOptionletBase > &s) |
| | Construct from a StrippedOptionletBase object.
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| DatedStrippedOptionlet (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const vector< Date > &optionletDates, const vector< vector< Rate > > &strikes, const vector< vector< Volatility > > &volatilities, const vector< Rate > &optionletAtmRates, const DayCounter &dayCounter, VolatilityType type=ShiftedLognormal, Real displacement=0.0) |
| | Construct from an explicitly provided optionlet surface.
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| const vector< Rate > & | optionletStrikes (Size i) const override |
| const vector< Volatility > & | optionletVolatilities (Size i) const override |
| const vector< Date > & | optionletFixingDates () const override |
| const vector< Time > & | optionletFixingTimes () const override |
| Size | optionletMaturities () const override |
| const vector< Rate > & | atmOptionletRates () const override |
| const Date & | referenceDate () const override |
| const Calendar & | calendar () const override |
| BusinessDayConvention | businessDayConvention () const override |
| const DayCounter & | dayCounter () const override |
| VolatilityType | volatilityType () const override |
| Real | displacement () const override |
Stripped Optionlet Surface.
Class to hold a stripped optionlet surface with a fixed reference date and fixed volatilities
