fxvoltimeweighting.hpp File Reference

helper class to compute weights for fx vol time interpolation More...

#include <ql/math/interpolation.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/date.hpp>
#include <ql/time/daycounter.hpp>
#include <map>

Classes
class	FxVolatilityTimeWeighting

Detailed Description

helper class to compute weights for fx vol time interpolation