Logo
Reference manual - version qle_version
CapFloorVolatilityEUR Struct Reference

Public Attributes

vector< Period > tenors
vector< Rate > strikes
Matrix nVols
Matrix slnVols_1
Matrix slnVols_2
Real shift_1
Real shift_2
vector< Period > atmTenors
vector< Volatility > nAtmVols
vector< Volatility > slnAtmVols_1
vector< Volatility > slnAtmVols_2