InterpolatedYoYOptionletStripper< Interpolator1D > Class Template Reference

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

Inheritance diagram for InterpolatedYoYOptionletStripper< Interpolator1D >:

Public Member Functions
void	initialize (const ext::shared_ptr< YoYCapFloorTermPriceSurface > &, const ext::shared_ptr< YoYInflationCapFloorEngine > &, Real slope) const override
	YoYOptionletStripper interface.
Rate	minStrike () const override
Rate	maxStrike () const override
std::vector< Rate >	strikes () const override
std::pair< std::vector< Rate >, std::vector< Volatility > >	slice (const Date &d) const override

Protected Attributes
std::vector< ext::shared_ptr< YoYOptionletVolatilitySurface > >	volCurves_
Protected Attributes inherited from YoYOptionletStripper
ext::shared_ptr< YoYCapFloorTermPriceSurface >	YoYCapFloorTermPriceSurface_
ext::shared_ptr< YoYInflationCapFloorEngine >	p_
Period	lag_
Frequency	frequency_
bool	indexIsInterpolated_

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.

Member Function Documentation

initialize()

template<class Interpolator1D>

void initialize ( const ext::shared_ptr< YoYCapFloorTermPriceSurface > & s, const ext::shared_ptr< YoYInflationCapFloorEngine > & p, Real slope ) const

overridevirtual

YoYOptionletStripper interface.

Implements YoYOptionletStripper.

minStrike()

template<class Interpolator1D>

Rate minStrike ( ) const

overridevirtual

Implements YoYOptionletStripper.

maxStrike()

template<class Interpolator1D>

Rate maxStrike ( ) const

overridevirtual

Implements YoYOptionletStripper.

strikes()

template<class Interpolator1D>

std::vector< Rate > strikes ( ) const

overridevirtual

Implements YoYOptionletStripper.

slice()

template<class Interpolator1D>

std::pair< std::vector< Rate >, std::vector< Volatility > > slice ( const Date & d ) const

overridevirtual

Implements YoYOptionletStripper.