Interpolated flat smile surface. More...
#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>
Inheritance diagram for InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >:Public Member Functions | |
Constructor | |
| InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &d, const std::vector< Volatility > &v, Rate minStrike, Rate maxStrike, const Interpolator1D &i=Interpolator1D()) | |
| calculate the reference date based on the global evaluation date More... | |
Limits | |
| 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 | |
Bootstrap interface | |
| virtual const std::vector< Time > & | times () const |
| virtual const std::vector< Date > & | dates () const |
| virtual const std::vector< Real > & | data () const |
| virtual std::vector< std::pair< Date, Real > > | nodes () const |
Public Member Functions inherited from YoYOptionletVolatilitySurface | |
| virtual Volatility | baseLevel () const |
| YoYOptionletVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
| virtual | ~YoYOptionletVolatilitySurface () |
| Volatility | volatility (const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
| Volatility | volatility (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
| returns the volatility for a given option tenor and strike rate | |
| virtual Volatility | totalVariance (const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
| Returns the total integrated variance for a given exercise date and strike rate. More... | |
| virtual Volatility | totalVariance (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
| returns the total integrated variance for a given option tenor and strike rate | |
| virtual Period | observationLag () const |
| virtual Frequency | frequency () const |
| virtual bool | indexIsInterpolated () const |
| virtual Date | baseDate () const |
| virtual Time | timeFromBase (const Date &date, const Period &obsLag=Period(-1, Days)) const |
| base date will be in the past because of observation lag | |
Public Member Functions inherited from VolatilityTermStructure | |
| virtual BusinessDayConvention | businessDayConvention () const |
| the business day convention used in tenor to date conversion | |
| Date | optionDateFromTenor (const Period &) const |
| period/date conversion | |
| VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
Public Member Functions inherited from TermStructure | |
| TermStructure (const DayCounter &dc=DayCounter()) | |
| default constructor More... | |
| TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| virtual DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Time | timeFromReference (const Date &date) const |
| date/time conversion | |
| virtual Time | maxTime () const |
| the latest time for which the curve can return values | |
| virtual const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 | |
| virtual Calendar | calendar () const |
| the calendar used for reference and/or option date calculation | |
| virtual Natural | settlementDays () const |
| the settlementDays used for reference date calculation | |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Extrapolator | |
| void | enableExtrapolation (bool b=true) |
| enable extrapolation in subsequent calls | |
| void | disableExtrapolation (bool b=true) |
| disable extrapolation in subsequent calls | |
| bool | allowsExtrapolation () const |
| tells whether extrapolation is enabled | |
Protected Member Functions | |
| InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const Interpolator1D &i=Interpolator1D()) | |
| virtual Volatility | volatilityImpl (Time length, Rate strike) const |
| implements the actual volatility calculation in derived classes More... | |
Protected Member Functions inherited from YoYOptionletVolatilitySurface | |
| virtual void | checkRange (const Date &, Rate strike, bool extrapolate) const |
| virtual void | checkRange (Time, Rate strike, bool extrapolate) const |
| virtual void | setBaseLevel (Volatility v) |
Protected Member Functions inherited from VolatilityTermStructure | |
| void | checkStrike (Rate strike, bool extrapolate) const |
| strike-range check | |
Protected Member Functions inherited from TermStructure | |
| void | checkRange (const Date &d, bool extrapolate) const |
| date-range check | |
| void | checkRange (Time t, bool extrapolate) const |
| time-range check | |
Protected Member Functions inherited from InterpolatedCurve< Interpolator1D > | |
| void | setupInterpolation () |
| InterpolatedCurve (const std::vector< Time > ×, const std::vector< Real > &data, const Interpolator1D &i=Interpolator1D()) | |
| InterpolatedCurve (const std::vector< Time > ×, const Interpolator1D &i=Interpolator1D()) | |
| InterpolatedCurve (Size n, const Interpolator1D &i=Interpolator1D()) | |
| InterpolatedCurve (const Interpolator1D &i=Interpolator1D()) | |
| InterpolatedCurve (const InterpolatedCurve &c) | |
| InterpolatedCurve & | operator= (const InterpolatedCurve &c) |
Protected Attributes | |
| std::vector< Date > | dates_ |
| std::vector< std::pair< Date, Real > > | nodes_ |
| Rate | minStrike_ |
| Rate | maxStrike_ |
Protected Attributes inherited from YoYOptionletVolatilitySurface | |
| Volatility | baseLevel_ |
| Period | observationLag_ |
| Frequency | frequency_ |
| bool | indexIsInterpolated_ |
Protected Attributes inherited from TermStructure | |
| bool | moving_ |
| bool | updated_ |
| Calendar | calendar_ |
Protected Attributes inherited from InterpolatedCurve< Interpolator1D > | |
| std::vector< Time > | times_ |
| std::vector< Real > | data_ |
| Interpolation | interpolation_ |
| Interpolator1D | interpolator_ |
| Date | maxDate_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Interpolated flat smile surface.
Interpolated in T direction and constant in K direction.
| InterpolatedYoYOptionletVolatilityCurve | ( | Natural | settlementDays, |
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc, | ||
| const DayCounter & | dc, | ||
| const Period & | lag, | ||
| Frequency | frequency, | ||
| bool | indexIsInterpolated, | ||
| const std::vector< Date > & | d, | ||
| const std::vector< Volatility > & | v, | ||
| Rate | minStrike, | ||
| Rate | maxStrike, | ||
| const Interpolator1D & | i = Interpolator1D() |
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| ) |
calculate the reference date based on the global evaluation date
The dates are those of the volatility ... there is no lag on the dates but they are relative to a start date earlier than the reference date as always for inflation.
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protectedvirtual |
implements the actual volatility calculation in derived classes
For the curve strike is ignored because the smile is (can only be) flat.
Implements YoYOptionletVolatilitySurface.