YoYInflationOptionletVolStripper Class Reference

#include <qle/termstructures/yoyinflationoptionletvolstripper.hpp>

Public Member Functions
	YoYInflationOptionletVolStripper (const boost::shared_ptr< QuantLib::CapFloorTermVolSurface > &volSurface, const boost::shared_ptr< YoYInflationIndex > &index, const Handle< YieldTermStructure > &nominalTs, VolatilityType type=ShiftedLognormal, Real displacement=0.0)
const boost::shared_ptr< QuantExt::YoYOptionletVolatilitySurface >	yoyInflationCapFloorVolSurface () const

LazyObject interface
void	performCalculations ()

Detailed Description

Helper class to strip yoy inflation optionlet (i.e. caplet/floorlet) volatilities from the (cap/floor) term volatilities of a CapFloorTermVolSurface.