QuantLib_YoYInflationVolatilityTraits

Langue: en

Version: 378456 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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