YoYOptionletStripper Class Reference

Interface for inflation cap stripping, i.e. from price surfaces. More...

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

Inheritance diagram for YoYOptionletStripper:

Public Member Functions
virtual void	initialize (const ext::shared_ptr< YoYCapFloorTermPriceSurface > &, const ext::shared_ptr< YoYInflationCapFloorEngine > &, 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
ext::shared_ptr< YoYCapFloorTermPriceSurface >	YoYCapFloorTermPriceSurface_
ext::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.

Member Function Documentation

initialize()

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

pure virtual

YoYOptionletStripper interface.

Implemented in InterpolatedYoYOptionletStripper< Interpolator1D >.