#include <qle/termstructures/strippedyoyinflationoptionletvol.hpp>
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| 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) |
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QuantLib::Date | maxDate () const override |
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void | performCalculations () const override |
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void | update () override |
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const std::vector< Rate > & | yoyoptionletStrikes (Size i) const |
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const std::vector< Volatility > & | yoyoptionletVolatilities (Size i) const |
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const std::vector< Date > & | yoyoptionletFixingDates () const |
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const std::vector< Time > & | yoyoptionletFixingTimes () const |
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DayCounter | dayCounter () const override |
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Calendar | calendar () const override |
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Natural | settlementDays () const override |
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BusinessDayConvention | businessDayConvention () const override |
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QuantLib::VolatilityType | volatilityType () const override |
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QuantLib::Real | displacement () const override |
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QuantLib::Rate | minStrike () const override |
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QuantLib::Rate | maxStrike () const override |
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QuantLib::Volatility | volatilityImpl (Time length, QuantLib::Rate strike) const override |
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Helper class to wrap in a YoYOptionletVolatilitySurface object.
Inheritance diagram for StrippedYoYInflationOptionletVol: