yoyoptionletstripper.hpp

Langue: en

Version: 379026 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/experimental/inflation/yoyoptionletstripper.hpp -

yoy inflation-cap stripping

SYNOPSIS


#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>

Classes


class YoYOptionletStripper
Interface for inflation cap stripping, i.e. from price surfaces.

Detailed Description

yoy inflation-cap stripping

Author

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