QuantLib_YoYOptionletStripper man page

YoYOptionletStripper — Interface for inflation cap stripping, i.e. from price surfaces.  

Synopsis

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

Inherited by InterpolatedYoYOptionletStripper< Interpolator1D >.

Public Member Functions

virtual void initialize (const boost::shared_ptr< YoYCapFloorTermPriceSurface > &, const boost::shared_ptr< YoYInflationCapFloorEngine > &, const Real slope) const =0
YoYOptionletStripper interface.
virtual Rate minStrike () const =0
virtual Rate maxStrike () const =0
virtual std::vector< Rate > strikes () const =0
virtual std::pair< std::vector< Rate >, std::vector< Volatility > > slice (const Date &d) const =0

Protected Attributes

boost::shared_ptr< YoYCapFloorTermPriceSurface > YoYCapFloorTermPriceSurface_
boost::shared_ptr< YoYInflationCapFloorEngine > p_
Period lag_
Frequency frequency_
bool indexIsInterpolated_

Detailed Description

Interface for inflation cap stripping, i.e. from price surfaces.

Strippers return K slices of the volatility surface at a given T. In initialize they actually do the stripping along each K.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages p_(3) and YoYCapFloorTermPriceSurface_(3) are aliases of QuantLib_YoYOptionletStripper(3).

Wed Aug 2 2017 Version 1.10 QuantLib