QuantLib_InterpolatedYoYOptionletStripper

Langue: en

Version: 379697 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::InterpolatedYoYOptionletStripper -

SYNOPSIS


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

Inherits QuantLib::YoYOptionletStripper.

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_

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.

Author

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