QuantLib_InterpolatedYoYOptionletStripper man page
InterpolatedYoYOptionletStripper< Interpolator1D >
Synopsis
#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).
- Bug
Tests currently fail.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Referenced By
slice(3) and volCurves_(3) are aliases of QuantLib_InterpolatedYoYOptionletStripper(3).