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 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.