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QuantLib_YoYOptionletStripper
Langue: en
Version: 380297 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::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
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