- QuantLib
- InterpolatedYoYOptionletStripper
#include <ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp>
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_ |
The interpolated version interpolates along each K (as opposed to fitting a model, say).