QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <interpolatedyoyoptionletstripper.hpp>
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< Rate > | strikes () 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< Rate > | strikes () 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< YoYCapFloorTermPriceSurface > | YoYCapFloorTermPriceSurface_ |
ext::shared_ptr< YoYInflationCapFloorEngine > | p_ |
Period | lag_ |
Frequency | frequency_ |
bool | indexIsInterpolated_ |
The interpolated version interpolates along each K (as opposed to fitting a model, say).
Definition at line 44 of file interpolatedyoyoptionletstripper.hpp.
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overridevirtual |
YoYOptionletStripper interface.
Implements YoYOptionletStripper.
Definition at line 163 of file interpolatedyoyoptionletstripper.hpp.
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overridevirtual |
Implements YoYOptionletStripper.
Definition at line 52 of file interpolatedyoyoptionletstripper.hpp.
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overridevirtual |
Implements YoYOptionletStripper.
Definition at line 53 of file interpolatedyoyoptionletstripper.hpp.
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overridevirtual |
Implements YoYOptionletStripper.
Definition at line 54 of file interpolatedyoyoptionletstripper.hpp.
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overridevirtual |
Implements YoYOptionletStripper.
Definition at line 280 of file interpolatedyoyoptionletstripper.hpp.
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mutableprotected |
Definition at line 62 of file interpolatedyoyoptionletstripper.hpp.