 
K-interpolated YoY optionlet volatility. More...
#include <ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp>

| Constructor | |
| calculate the reference date based on the global evaluation date | |
| boost::shared_ptr < YoYCapFloorTermPriceSurface > | capFloorPrices_ | 
| boost::shared_ptr < YoYInflationCapFloorEngine > | yoyInflationCouponPricer_ | 
| boost::shared_ptr < YoYOptionletStripper > | yoyOptionletStripper_ | 
| Interpolator1D | factory1D_ | 
| Real | slope_ | 
| bool | lastDateisSet_ | 
| Date | lastDate_ | 
| Interpolation | tempKinterpolation_ | 
| std::pair< std::vector< Rate > , std::vector< Volatility > > | slice_ | 
| KInterpolatedYoYOptionletVolatilitySurface (const Natural settlementDays, const Calendar &, const BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, const boost::shared_ptr< YoYCapFloorTermPriceSurface > &capFloorPrices, const boost::shared_ptr< YoYInflationCapFloorEngine > &pricer, const boost::shared_ptr< YoYOptionletStripper > &yoyOptionletStripper, const Real slope, const Interpolator1D &interpolator=Interpolator1D()) | |
| virtual Real | minStrike () const | 
| the minimum strike for which the term structure can return vols | |
| virtual Real | maxStrike () const | 
| the maximum strike for which the term structure can return vols | |
| virtual Date | maxDate () const | 
| the latest date for which the curve can return values | |
| std::pair< std::vector< Rate > , std::vector< Volatility > > | Dslice (const Date &d) const | 
| virtual Volatility | volatilityImpl (const Date &d, Rate strike) const | 
| virtual Volatility | volatilityImpl (Time length, Rate strike) const | 
| virtual void | performCalculations () const | 
K-interpolated YoY optionlet volatility.
The stripper provides curves in the T direction along each K. We don't know whether this is interpolating or fitting in the T direction. Our K direction interpolations are not model fitting.
An alternative design would be a FittedYoYOptionletVolatilitySurface taking a model, e.g. SABR in the interest rate world. This could use the same stripping in the T direction along each K.
| Volatility volatilityImpl | ( | Time | length, | 
| Rate | strike | ||
| ) | const  [protected, virtual] | 
Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.
Implements YoYOptionletVolatilitySurface.