OptionletTraits Struct Reference

Traits class that is needed for Bootstrap classes to work More...

#include <qle/termstructures/piecewiseoptionletcurve.hpp>

Public Types
typedef QuantLib::BootstrapHelper< QuantLib::OptionletVolatilityStructure >	helper
	Helper type.

Static Public Member Functions
static QuantLib::Date	initialDate (const QuantLib::OptionletVolatilityStructure *ovts)
	Start date of the optionlet volatility term structure.
static QuantLib::Real	initialValue (const QuantLib::OptionletVolatilityStructure *ovts)
	The value at the reference date of the term structure.
template<class C>
static QuantLib::Real	guess (QuantLib::Size i, const C *c, bool validData, QuantLib::Size)
	Guesses.
template<class C>
static QuantLib::Real	minValueAfter (QuantLib::Size i, const C *c, bool validData, QuantLib::Size)
	Minimum value after a given iteration. Lower bound for optionlet volatility is 0.
template<class C>
static QuantLib::Real	maxValueAfter (QuantLib::Size i, const C *c, bool validData, QuantLib::Size)
	Maximum value after a given iteration.
static void	updateGuess (std::vector< QuantLib::Real > &data, QuantLib::Real vol, QuantLib::Size i)
	Root finding update.
static QuantLib::Size	maxIterations ()
	Maximum number of iterations to perform in search for root.

Detailed Description

Traits class that is needed for Bootstrap classes to work