CapPseudoDerivative Class Reference

#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp>

Public Member Functions
	CapPseudoDerivative (const ext::shared_ptr< MarketModel > &inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF)
const Matrix &	volatilityDerivative (Size i) const
const Matrix &	priceDerivative (Size i) const
Real	impliedVolatility () const

Detailed Description

In order to compute market vegas, we need a class that gives the derivative of a cap implied vol against changes in pseudo-root elements. This is that class.

The operation is non-trivial because the cap implied vol has a complicated relationship with the caplet implied vols.

This is tested in the pathwise vegas routine in MarketModels.cpp