YoYOptionletStripper Class Reference

Interface for inflation cap stripping, i.e. from price surfaces. More...

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

Inheritance diagram for YoYOptionletStripper:

List of all members.

Public Member Functions

virtual void initialize (const boost::shared_ptr< YoYCapFloorTermPriceSurface > &, const boost::shared_ptr< YoYInflationCapFloorEngine > &, const Real slope) const =0
 YoYOptionletStripper interface.
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

boost::shared_ptr
< YoYCapFloorTermPriceSurface
YoYCapFloorTermPriceSurface_
boost::shared_ptr
< YoYInflationCapFloorEngine
p_
Period lag_
Frequency frequency_
bool indexIsInterpolated_

Detailed Description

Interface for inflation cap stripping, i.e. from price surfaces.

Strippers return K slices of the volatility surface at a given T. In initialize they actually do the stripping along each K.