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<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_yo_y_optionlet_stripper.html">YoYOptionletStripper</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">YoYOptionletStripper Class Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<p>Interface for inflation cap stripping, i.e. from price surfaces.
<a href="class_quant_lib_1_1_yo_y_optionlet_stripper.html#details">More...</a></p>
<p><code>#include <ql/experimental/inflation/yoyoptionletstripper.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for YoYOptionletStripper:</div>
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Public Member Functions</h2></td></tr>
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virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_yo_y_optionlet_stripper.html#a11ea5990e38f6b7fd3341724fa9512a7">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 =0</td></tr>
<tr class="memdesc:a11ea5990e38f6b7fd3341724fa9512a7"><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>
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virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>minStrike</b> () const =0</td></tr>
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virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>maxStrike</b> () const =0</td></tr>
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virtual std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > </td><td class="memItemRight" valign="bottom"><b>strikes</b> () const =0</td></tr>
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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 =0</td></tr>
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Protected Attributes</h2></td></tr>
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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>
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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>
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<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>lag_</b></td></tr>
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<a class="el" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada">Frequency</a> </td><td class="memItemRight" valign="bottom"><b>frequency_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>indexIsInterpolated_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Interface for inflation cap stripping, i.e. from price surfaces. </p>
<p>Strippers return K slices of the volatility surface at a given T. In initialize they actually do the stripping along each K. </p>
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