InterpolatedYoYOptionletStripper< Interpolator1D >::ObjectiveFunction Class Reference

#include <ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp>

Collaboration diagram for InterpolatedYoYOptionletStripper< Interpolator1D >::ObjectiveFunction:

Public Member Functions
	ObjectiveFunction (YoYInflationCapFloor::Type type, Real slope, Rate K, Period &lag, Natural fixingDays, const ext::shared_ptr< YoYInflationIndex > &anIndex, const ext::shared_ptr< YoYCapFloorTermPriceSurface > &, ext::shared_ptr< YoYInflationCapFloorEngine > p, Real priceToMatch)
Real	operator() (Volatility guess) const

Protected Attributes
Real	slope_
Rate	K_
Frequency	frequency_
bool	indexIsInterpolated_
std::vector< Time >	tvec_
std::vector< Date >	dvec_
std::vector< Volatility >	vvec_
ext::shared_ptr< YoYInflationCapFloor >	capfloor_
Real	priceToMatch_
ext::shared_ptr< YoYCapFloorTermPriceSurface >	surf_
Period	lag_
ext::shared_ptr< YoYInflationCapFloorEngine >	p_

Detailed Description

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

Definition at line 66 of file interpolatedyoyoptionletstripper.hpp.

Constructor & Destructor Documentation

ObjectiveFunction()

ObjectiveFunction	(	YoYInflationCapFloor::Type	type,
		Real	slope,
		Rate	K,
		Period &	lag,
		Natural	fixingDays,
		const ext::shared_ptr< YoYInflationIndex > &	anIndex,
		const ext::shared_ptr< YoYCapFloorTermPriceSurface > &	surf,
		ext::shared_ptr< YoYInflationCapFloorEngine >	p,
		Real	priceToMatch
	)

Definition at line 98 of file interpolatedyoyoptionletstripper.hpp.

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Member Function Documentation

operator()()

Real operator()

(

Volatility

guess

)

const

Definition at line 141 of file interpolatedyoyoptionletstripper.hpp.

Member Data Documentation

slope_

Real slope_

protected

Definition at line 79 of file interpolatedyoyoptionletstripper.hpp.

K_

Rate K_

protected

Definition at line 80 of file interpolatedyoyoptionletstripper.hpp.

frequency_

Frequency frequency_

protected

Definition at line 81 of file interpolatedyoyoptionletstripper.hpp.

indexIsInterpolated_

bool indexIsInterpolated_

protected

Definition at line 82 of file interpolatedyoyoptionletstripper.hpp.

tvec_

std::vector<Time> tvec_

protected

Definition at line 83 of file interpolatedyoyoptionletstripper.hpp.

dvec_

std::vector<Date> dvec_

protected

Definition at line 84 of file interpolatedyoyoptionletstripper.hpp.

vvec_

std::vector<Volatility> vvec_

mutableprotected

Definition at line 85 of file interpolatedyoyoptionletstripper.hpp.

capfloor_

ext::shared_ptr<YoYInflationCapFloor> capfloor_

protected

Definition at line 86 of file interpolatedyoyoptionletstripper.hpp.

priceToMatch_

Real priceToMatch_

protected

Definition at line 87 of file interpolatedyoyoptionletstripper.hpp.

surf_

ext::shared_ptr<YoYCapFloorTermPriceSurface> surf_

protected

Definition at line 88 of file interpolatedyoyoptionletstripper.hpp.

lag_

Period lag_

protected

Definition at line 89 of file interpolatedyoyoptionletstripper.hpp.

p_

ext::shared_ptr<YoYInflationCapFloorEngine> p_

protected

Definition at line 90 of file interpolatedyoyoptionletstripper.hpp.