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QuantLib_YoYInflationVolatilityTraits
Langue: en
Version: 378456 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::YoYInflationVolatilityTraits -traits for inflation-volatility bootstrap
SYNOPSIS
#include <ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp>
Public Types
typedef BootstrapHelper< YoYOptionletVolatilitySurface > helper
Static Public Member Functions
static Size maxIterations ()
static Date initialDate (const YoYOptionletVolatilitySurface *s)
static bool dummyInitialValue ()
static Volatility initialValue (const YoYOptionletVolatilitySurface *s)
static Volatility initialGuess ()
static Volatility guess (const YoYOptionletVolatilitySurface *, const Date &)
static Volatility minValueAfter (Size n, const std::vector< Volatility > &v)
static Volatility maxValueAfter (Size n, const std::vector< Volatility > &v)
static void updateGuess (std::vector< Volatility > &vols, Volatility level, Size i)
Detailed Description
traits for inflation-volatility bootstrap
Author
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