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< 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_

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 162 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 61 of file interpolatedyoyoptionletstripper.hpp.