piecewiseatmoptionletcurve.hpp File Reference

Create optionlet volatility structure from at-the-money cap floor term volatility curve. More...

#include <qle/termstructures/capfloortermvolcurve.hpp>
#include <qle/termstructures/iterativebootstrap.hpp>
#include <qle/termstructures/piecewiseoptionletcurve.hpp>
#include <qle/termstructures/oiscapfloorhelper.hpp>

Classes
class	PiecewiseAtmOptionletCurve< Interpolator, Bootstrap >

Detailed Description

Create optionlet volatility structure from at-the-money cap floor term volatility curve.