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

Inheritance diagram for YoYOptionletStripper:

Collaboration diagram for YoYOptionletStripper:

Public Member Functions
virtual	~YoYOptionletStripper ()=default

virtual void	initialize (const ext::shared_ptr< YoYCapFloorTermPriceSurface > &, const ext::shared_ptr< YoYInflationCapFloorEngine > &, Real slope) const =0
	YoYOptionletStripper interface. More...

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.

Definition at line 37 of file yoyoptionletstripper.hpp.

Constructor & Destructor Documentation

virtual ~YoYOptionletStripper ( )

virtualdefault

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