QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Protected Attributes | List of all members
InterpolatedYoYOptionletStripper< Interpolator1D > Class Template Reference

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

+ Inheritance diagram for InterpolatedYoYOptionletStripper< Interpolator1D >:

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

Protected Attributes

std::vector< boost::shared_ptr< YoYOptionletVolatilitySurface > > volCurves_
 
- Protected Attributes inherited from YoYOptionletStripper
boost::shared_ptr< YoYCapFloorTermPriceSurfaceYoYCapFloorTermPriceSurface_
 
boost::shared_ptr< YoYInflationCapFloorEnginep_
 
Period lag_
 
Frequency frequency_
 
bool indexIsInterpolated_
 

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.