CapHelper Class Reference
#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp>
Inheritance diagram for CapHelper:
Detailed Description
calibration helper for ATM capPublic Member Functions | |
| CapHelper (const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) | |
| virtual void | addTimesTo (std::list< Time > ×) const |
| virtual Real | modelValue () const |
| returns the price of the instrument according to the model | |
| virtual Real | blackPrice (Volatility volatility) const |
| Black price given a volatility. | |