QuantLib: YoYOptionletStripper Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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Protected Attributes | List of all members
YoYOptionletStripper Class Referenceabstract

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

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

Inheritance diagram for YoYOptionletStripper:
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## 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< Rate > | strikes () 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.