- QuantLib
- YoYOptionletStripper
Interface for inflation cap stripping, i.e. from price surfaces. More...
#include <ql/experimental/inflation/yoyoptionletstripper.hpp>
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_ |
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.