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QuantLib_YoYOptionletStripper

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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