Re: [QuantLib-svn] SF.net SVN:quantlib:[11264] trunk/QuantLib/ql/termstructures/volatilities /caplet

Posted by DU VIGNAUD DE VILLEFORT FRANCOIS GASAPRD PHI on
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-svn-SF-net-SVN-quantlib-11264-trunk-QuantLib-ql-termstructures-volatilities-caplet-tp9564.html


Thanks for this enlightening answer Luigi,

>What were A and X?

A -> HybridCapletVolatilityStructure
X -> ParametrizedCapletVolStructure

To put it in a nutshell the HybridCapletVolatilityStructure class takes two disjoint CapletVolStructures and compute the volatility using the appropriated one depending on the tenor. Anyway it was a poor idea to templatize, and now the construction of the ParametrizedCapletVolStructure is done externally which makes much more sense.

François




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