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CapFlatVolatilityVector Class Reference#include <capflatvolvector.hpp>
Inheritance diagram for CapFlatVolatilityVector: ![]() Detailed DescriptionCap/floor at-the-money flat volatility vector.This class provides the at-the-money volatility for a given cap by interpolating a volatility vector whose elements are the market volatilities of a set of caps/floors with given length.
The documentation for this class was generated from the following file:
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