YoYInflationVolatilityTraits Class Reference

traits for inflation-volatility bootstrap More...

#include <piecewiseyoyoptionletvolatility.hpp>

Collaboration diagram for YoYInflationVolatilityTraits:

Public Types
typedef BootstrapHelper< YoYOptionletVolatilitySurface >	helper

Static Public Member Functions
static Date	initialDate (const YoYOptionletVolatilitySurface *s)
static Real	initialValue (const YoYOptionletVolatilitySurface *s)
template<class C >
static Real	guess (Size i, const C *c, bool validData, Size)
template<class C >
static Real	minValueAfter (Size i, const C *c, bool, Size)
template<class C >
static Real	maxValueAfter (Size i, const C *c, bool, Size)
static void	updateGuess (std::vector< Real > &vols, Real level, Size i)
static Size	maxIterations ()

Detailed Description

traits for inflation-volatility bootstrap

Definition at line 36 of file piecewiseyoyoptionletvolatility.hpp.

Member Typedef Documentation

helper

typedef BootstrapHelper<YoYOptionletVolatilitySurface> helper

Definition at line 38 of file piecewiseyoyoptionletvolatility.hpp.

Member Function Documentation

initialDate()

static Date initialDate ( const YoYOptionletVolatilitySurface *  s )

static

Definition at line 41 of file piecewiseyoyoptionletvolatility.hpp.

initialValue()

static Real initialValue ( const YoYOptionletVolatilitySurface *  s )

static

Definition at line 45 of file piecewiseyoyoptionletvolatility.hpp.

guess()

static Real guess ( Size  i, const C *  c, bool  validData, Size    )

static

Definition at line 55 of file piecewiseyoyoptionletvolatility.hpp.

minValueAfter()

static Real minValueAfter ( Size  i, const C *  c, bool  , Size    )

static

Definition at line 72 of file piecewiseyoyoptionletvolatility.hpp.

maxValueAfter()

static Real maxValueAfter ( Size  i, const C *  c, bool  , Size    )

static

Definition at line 80 of file piecewiseyoyoptionletvolatility.hpp.

updateGuess()

static void updateGuess ( std::vector< Real > &  vols, Real  level, Size  i  )

static

Definition at line 89 of file piecewiseyoyoptionletvolatility.hpp.

maxIterations()

static Size maxIterations ( )

static

Definition at line 95 of file piecewiseyoyoptionletvolatility.hpp.