StrippedOptionletAdapter

NAME

StrippedOptionletAdapter

SYNOPSIS

#include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>

Inherits OptionletVolatilityStructure, and LazyObject.

Public Member Functions

StrippedOptionletAdapter (const boost::shared_ptr< StrippedOptionletBase > &)
VolatilityType volatilityType () const
Real displacement () const

TermStructure interface

Date maxDate () const
the latest date for which the curve can return values

VolatilityTermStructure interface

Rate minStrike () const
the minimum strike for which the term structure can return vols
Rate maxStrike () const
the maximum strike for which the term structure can return vols

LazyObject interface

void update ()
void performCalculations () const
boost::shared_ptr< OptionletStripper > optionletStripper () const

Protected Member Functions
OptionletVolatilityStructure interface

boost::shared_ptr< SmileSection > smileSectionImpl (Time optionTime) const
implements the actual smile calculation in derived classes
Volatility volatilityImpl (Time length, Rate strike) const
implements the actual volatility calculation in derived classes

Additional Inherited Members

Detailed Description

Adapter class for turning a StrippedOptionletBase object into an OptionletVolatilityStructure.

Member Function Documentation

void update () [virtual]
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

void performCalculations () const [virtual]
This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Author

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