1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: InterpolatedYoYOptionletStripper< Interpolator1D > Class Template Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_interpolated_yo_y_optionlet_stripper.html">InterpolatedYoYOptionletStripper</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> |
<a href="class_quant_lib_1_1_interpolated_yo_y_optionlet_stripper-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">InterpolatedYoYOptionletStripper< Interpolator1D > Class Template Reference</div> </div>
</div><!--header-->
<div class="contents">
<p><code>#include <ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for InterpolatedYoYOptionletStripper< Interpolator1D >:</div>
<div id="dynsection-0-summary" class="dynsummary" style="display:block;">
</div>
<div id="dynsection-0-content" class="dyncontent" style="display:none;">
<div class="center"><img src="class_quant_lib_1_1_interpolated_yo_y_optionlet_stripper__inherit__graph.png" border="0" usemap="#a_interpolated_yo_y_optionlet_stripper_3_01_interpolator1_d_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_interpolated_yo_y_optionlet_stripper_3_01_interpolator1_d_01_4_inherit__map" id="a_interpolated_yo_y_optionlet_stripper_3_01_interpolator1_d_01_4_inherit__map">
<area shape="rect" title=" " alt="" coords="5,80,179,121"/>
<area shape="rect" href="class_quant_lib_1_1_yo_y_optionlet_stripper.html" title="Interface for inflation cap stripping, i.e. from price surfaces." alt="" coords="21,5,163,32"/>
</map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a82e643d95f342ea191fdfab377cd6a38"><td class="memItemLeft" align="right" valign="top"><a id="a82e643d95f342ea191fdfab377cd6a38"></a>
virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_interpolated_yo_y_optionlet_stripper.html#a82e643d95f342ea191fdfab377cd6a38">initialize</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_yo_y_cap_floor_term_price_surface.html">YoYCapFloorTermPriceSurface</a> > &, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_yo_y_inflation_cap_floor_engine.html">YoYInflationCapFloorEngine</a> > &, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> slope) const</td></tr>
<tr class="memdesc:a82e643d95f342ea191fdfab377cd6a38"><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_yo_y_optionlet_stripper.html" title="Interface for inflation cap stripping, i.e. from price surfaces.">YoYOptionletStripper</a> interface. <br /></td></tr>
<tr class="separator:a82e643d95f342ea191fdfab377cd6a38"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a57f490b1917711f9a8a053833ed97f4e"><td class="memItemLeft" align="right" valign="top"><a id="a57f490b1917711f9a8a053833ed97f4e"></a>
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>minStrike</b> () const</td></tr>
<tr class="separator:a57f490b1917711f9a8a053833ed97f4e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a112bd57e4ec648c23bcd3aba6e4066d1"><td class="memItemLeft" align="right" valign="top"><a id="a112bd57e4ec648c23bcd3aba6e4066d1"></a>
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>maxStrike</b> () const</td></tr>
<tr class="separator:a112bd57e4ec648c23bcd3aba6e4066d1"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5d867230410652a9be9c19afa77ad851"><td class="memItemLeft" align="right" valign="top"><a id="a5d867230410652a9be9c19afa77ad851"></a>
virtual std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > </td><td class="memItemRight" valign="bottom"><b>strikes</b> () const</td></tr>
<tr class="separator:a5d867230410652a9be9c19afa77ad851"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3214a9351997377699cb9761897a66c8"><td class="memItemLeft" align="right" valign="top"><a id="a3214a9351997377699cb9761897a66c8"></a>
virtual std::pair< std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> >, std::vector< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > > </td><td class="memItemRight" valign="bottom"><b>slice</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &d) const</td></tr>
<tr class="separator:a3214a9351997377699cb9761897a66c8"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr class="memitem:a4b444698433b4b6565169ce1ccdb36ca"><td class="memItemLeft" align="right" valign="top"><a id="a4b444698433b4b6565169ce1ccdb36ca"></a>
std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_yo_y_optionlet_volatility_surface.html">YoYOptionletVolatilitySurface</a> > > </td><td class="memItemRight" valign="bottom"><b>volCurves_</b></td></tr>
<tr class="separator:a4b444698433b4b6565169ce1ccdb36ca"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_yo_y_optionlet_stripper.html">YoYOptionletStripper</a></td></tr>
<tr class="memitem:aa36790b1c9b60169d8f021dc4d189ed3 inherit pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td class="memItemLeft" align="right" valign="top"><a id="aa36790b1c9b60169d8f021dc4d189ed3"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_yo_y_cap_floor_term_price_surface.html">YoYCapFloorTermPriceSurface</a> > </td><td class="memItemRight" valign="bottom"><b>YoYCapFloorTermPriceSurface_</b></td></tr>
<tr class="separator:aa36790b1c9b60169d8f021dc4d189ed3 inherit pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab4aaa8199f52f4e1296c6d47f135c155 inherit pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td class="memItemLeft" align="right" valign="top"><a id="ab4aaa8199f52f4e1296c6d47f135c155"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_yo_y_inflation_cap_floor_engine.html">YoYInflationCapFloorEngine</a> > </td><td class="memItemRight" valign="bottom"><b>p_</b></td></tr>
<tr class="separator:ab4aaa8199f52f4e1296c6d47f135c155 inherit pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a686092ffaa2ce9ba65a854d47a710a2b inherit pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td class="memItemLeft" align="right" valign="top"><a id="a686092ffaa2ce9ba65a854d47a710a2b"></a>
<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>lag_</b></td></tr>
<tr class="separator:a686092ffaa2ce9ba65a854d47a710a2b inherit pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae358763dc753768bb42e898365204a9a inherit pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td class="memItemLeft" align="right" valign="top"><a id="ae358763dc753768bb42e898365204a9a"></a>
<a class="el" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada">Frequency</a> </td><td class="memItemRight" valign="bottom"><b>frequency_</b></td></tr>
<tr class="separator:ae358763dc753768bb42e898365204a9a inherit pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5efd9d78315713e82ef9c956ebe86eb4 inherit pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td class="memItemLeft" align="right" valign="top"><a id="a5efd9d78315713e82ef9c956ebe86eb4"></a>
bool </td><td class="memItemRight" valign="bottom"><b>indexIsInterpolated_</b></td></tr>
<tr class="separator:a5efd9d78315713e82ef9c956ebe86eb4 inherit pro_attribs_class_quant_lib_1_1_yo_y_optionlet_stripper"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class Interpolator1D><br />
class QuantLib::InterpolatedYoYOptionletStripper< Interpolator1D ></h3>
<p>The interpolated version interpolates along each K (as opposed to fitting a model, say).</p>
<dl class="bug"><dt><b><a class="el" href="bug.html#_bug000001">Bug:</a></b></dt><dd>Tests currently fail. </dd></dl>
</div></div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|
