StrippedYoYInflationOptionletVol Class Reference

#include <qle/termstructures/strippedyoyinflationoptionletvol.hpp>

Inheritance diagram for StrippedYoYInflationOptionletVol:

Public Member Functions
	StrippedYoYInflationOptionletVol (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &yoyoptionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, VolatilityType type=ShiftedLognormal, Real displacement=0.0)
QuantLib::Date	maxDate () const override
void	performCalculations () const override
void	update () override
const std::vector< Rate > &	yoyoptionletStrikes (Size i) const
const std::vector< Volatility > &	yoyoptionletVolatilities (Size i) const
const std::vector< Date > &	yoyoptionletFixingDates () const
const std::vector< Time > &	yoyoptionletFixingTimes () const
DayCounter	dayCounter () const override
Calendar	calendar () const override
Natural	settlementDays () const override
BusinessDayConvention	businessDayConvention () const override
QuantLib::VolatilityType	volatilityType () const override
QuantLib::Real	displacement () const override

Protected Member Functions
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override
QuantLib::Volatility	volatilityImpl (Time length, QuantLib::Rate strike) const override

Detailed Description

Helper class to wrap in a YoYOptionletVolatilitySurface object.