QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Public Member Functions | Protected Attributes | List of all members
InterpolatedYoYOptionletStripper< Interpolator1D > Class Template Reference

#include <interpolatedyoyoptionletstripper.hpp>

+ Inheritance diagram for InterpolatedYoYOptionletStripper< Interpolator1D >:
+ Collaboration diagram for InterpolatedYoYOptionletStripper< Interpolator1D >:

Classes

class  ObjectiveFunction
 

Public Member Functions

void initialize (const ext::shared_ptr< YoYCapFloorTermPriceSurface > &, const ext::shared_ptr< YoYInflationCapFloorEngine > &, Real slope) const override
 YoYOptionletStripper interface. More...
 
Rate minStrike () const override
 
Rate maxStrike () const override
 
std::vector< Ratestrikes () const override
 
std::pair< std::vector< Rate >, std::vector< Volatility > > slice (const Date &d) const override
 
- Public Member Functions inherited from YoYOptionletStripper
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< Ratestrikes () const =0
 
virtual std::pair< std::vector< Rate >, std::vector< Volatility > > slice (const Date &d) const =0
 

Protected Attributes

std::vector< ext::shared_ptr< YoYOptionletVolatilitySurface > > volCurves_
 
- Protected Attributes inherited from YoYOptionletStripper
ext::shared_ptr< YoYCapFloorTermPriceSurfaceYoYCapFloorTermPriceSurface_
 
ext::shared_ptr< YoYInflationCapFloorEnginep_
 
Period lag_
 
Frequency frequency_
 
bool indexIsInterpolated_
 

Detailed Description

template<class Interpolator1D>
class QuantLib::InterpolatedYoYOptionletStripper< Interpolator1D >

The interpolated version interpolates along each K (as opposed to fitting a model, say).

Bug:
Tests currently fail.

Definition at line 44 of file interpolatedyoyoptionletstripper.hpp.

Member Function Documentation

◆ initialize()

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

YoYOptionletStripper interface.

Implements YoYOptionletStripper.

Definition at line 163 of file interpolatedyoyoptionletstripper.hpp.

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◆ minStrike()

Rate minStrike ( ) const
overridevirtual

Implements YoYOptionletStripper.

Definition at line 52 of file interpolatedyoyoptionletstripper.hpp.

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◆ maxStrike()

Rate maxStrike ( ) const
overridevirtual

Implements YoYOptionletStripper.

Definition at line 53 of file interpolatedyoyoptionletstripper.hpp.

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◆ strikes()

std::vector< Rate > strikes ( ) const
overridevirtual

Implements YoYOptionletStripper.

Definition at line 54 of file interpolatedyoyoptionletstripper.hpp.

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◆ slice()

std::pair< std::vector< Rate >, std::vector< Volatility > > slice ( const Date d) const
overridevirtual

Implements YoYOptionletStripper.

Definition at line 280 of file interpolatedyoyoptionletstripper.hpp.

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Member Data Documentation

◆ volCurves_

std::vector<ext::shared_ptr<YoYOptionletVolatilitySurface> > volCurves_
mutableprotected

Definition at line 62 of file interpolatedyoyoptionletstripper.hpp.