QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Protected Attributes | List of all members
YoYOptionletStripper Class Referenceabstract

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

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

+ Inheritance diagram for YoYOptionletStripper:

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< Ratestrikes () const =0
 
virtual std::pair< std::vector< Rate >, std::vector< Volatility > > slice (const Date &d) const =0
 

Protected Attributes

boost::shared_ptr< YoYCapFloorTermPriceSurfaceYoYCapFloorTermPriceSurface_
 
boost::shared_ptr< YoYInflationCapFloorEnginep_
 
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.