#include <ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp>
Public Member Functions | |
virtual void | initialize (const ext::shared_ptr< YoYCapFloorTermPriceSurface > &, const ext::shared_ptr< YoYInflationCapFloorEngine > &, Real slope) const |
YoYOptionletStripper interface. | |
virtual Rate | minStrike () const |
virtual Rate | maxStrike () const |
virtual std::vector< Rate > | strikes () const |
virtual std::pair< std::vector< Rate >, std::vector< Volatility > > | slice (const Date &d) const |
Protected Attributes | |
std::vector< ext::shared_ptr< YoYOptionletVolatilitySurface > > | volCurves_ |
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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).