Converts YoYOptionletVolatilitySurface with fixed reference date into a floating reference date term structure. More...
#include <qle/termstructures/dynamicyoyoptionletvolatilitystructure.hpp>
Public Member Functions | |
DynamicYoYOptionletVolatilitySurface (const boost::shared_ptr< YoYOptionletVolatilitySurface > &source, ReactionToTimeDecay decayMode=ConstantVariance) | |
Protected Member Functions | |
Volatility | volatilityImpl (Time optionTime, Rate strike) const override |
Rate | minStrike () const override |
Rate | maxStrike () const override |
Date | maxDate () const override |
Converts YoYOptionletVolatilitySurface with fixed reference date into a floating reference date term structure.
Different ways of reacting to time decay can be specified.