Class InterpolatedYoYOptionletStripper

The interpolated version interpolates along each K (as opposed to fitting a model, say).

bug: Tests currently fail.

Hierarchy

YoYOptionletStripper
- InterpolatedYoYOptionletStripper

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new InterpolatedYoYOptionletStripper(interpolator: Interpolator): InterpolatedYoYOptionletStripper

- Defined in ql/experimental/inflation/interpolatedyoyoptionletstripper.ts:45
Parameters
- interpolator: Interpolator
Returns InterpolatedYoYOptionletStripper

Properties

Protected _YoYCapFloorTermPriceSurface

_YoYCapFloorTermPriceSurface: YoYCapFloorTermPriceSurface

Protected _frequency

_frequency: Frequency

Protected _indexIsInterpolated

_indexIsInterpolated: boolean

Protected _lag

_lag: Period

Protected _p

_p: YoYInflationCapFloorEngine

Protected _volCurves

_volCurves: YoYOptionletVolatilitySurface[]

interpolator

interpolator: Interpolator

Methods

initialize

initialize(s: YoYCapFloorTermPriceSurface, p: YoYInflationCapFloorEngine, slope: Real): void

Overrides YoYOptionletStripper.initialize
- Defined in ql/experimental/inflation/interpolatedyoyoptionletstripper.ts:50
Parameters
- s: YoYCapFloorTermPriceSurface
- p: YoYInflationCapFloorEngine
- slope: Real
Returns void

maxStrike

maxStrike(): Rate

Inherited from YoYOptionletStripper.maxStrike
- Defined in ql/experimental/inflation/yoyoptionletstripper.ts:27
Returns Rate

minStrike

minStrike(): Rate

Inherited from YoYOptionletStripper.minStrike
- Defined in ql/experimental/inflation/yoyoptionletstripper.ts:23
Returns Rate

slice

slice(d: Date): [Rate[], Volatility[]]

Inherited from YoYOptionletStripper.slice
- Defined in ql/experimental/inflation/yoyoptionletstripper.ts:35
Parameters
- d: Date
Returns [Rate[], Volatility[]]

strikes

strikes(): Rate[]

Inherited from YoYOptionletStripper.strikes
- Defined in ql/experimental/inflation/yoyoptionletstripper.ts:31
Returns Rate[]