QuantLib_InterpolatedYoYOptionletStripper man page

InterpolatedYoYOptionletStripper< Interpolator1D > —


#include <ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp>

Inherits YoYOptionletStripper.

Public Member Functions

virtual void initialize (const boost::shared_ptr< YoYCapFloorTermPriceSurface > &, const boost::shared_ptr< YoYInflationCapFloorEngine > &, const Real slope) const
YoYOptionletStripper interface.
virtual Rate minStrike () const

virtual Rate maxStrike () const

virtual std::vector< Rate > strikes () const

virtual std::pair< std::vector< Rate >, std::vector< Volatility > > slice (const Date &d) const

Protected Attributes

std::vector< boost::shared_ptr< YoYOptionletVolatilitySurface > > volCurves_

Detailed Description

template<class Interpolator1D>

class QuantLib::InterpolatedYoYOptionletStripper< Interpolator1D >" The interpolated version interpolates along each K (as opposed to fitting a model, say).


Tests currently fail.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

slice(3) and volCurves_(3) are aliases of QuantLib_InterpolatedYoYOptionletStripper(3).

QuantLib Version 1.8.1 Fri Sep 23 2016