CPIVolatilitySurface Class Reference

#include <qle/termstructures/inflation/cpivolatilitystructure.hpp>

Inheritance diagram for CPIVolatilitySurface:

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Public Member Functions
	CPIVolatilitySurface (QuantLib::Natural settlementDays, const QuantLib::Calendar &, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const QuantLib::Period &observationLag, QuantLib::Frequency frequency, bool indexIsInterpolated, const QuantLib::Date &capFloorStartDate=QuantLib::Date(), QuantLib::VolatilityType volType=QuantLib::ShiftedLognormal, double displacement=0.0)
QuantLib::Date	optionDateFromTenor (const QuantLib::Period &tenor) const override
	Computes the expiry date from the capFloorStartDate() More...
QuantLib::Date	baseDate () const override
	base date will be in the past More...
QuantLib::VolatilityType	volatilityType () const
	Returns the volatility type. More...
double	displacement () const
	Returns the displacement for lognormal volatilities. More...
bool	isLogNormal () const
QuantLib::Volatility	volatility (const QuantLib::Date &maturityDate, QuantLib::Rate strike, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days), bool extrapolate=false) const override
virtual QuantLib::Real	atmStrike (const QuantLib::Date &maturity, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days)) const =0
QuantLib::Date	capFloorStartDate () const

Protected Member Functions
virtual double	fixingTime (const QuantLib::Date &maturityDate) const
	Computes the expiry time from the capFloorStartDate() More...

Protected Attributes
QuantLib::VolatilityType	volType_
double	displacement_

Private Attributes
QuantLib::Date	capFloorStartDate_

Detailed Description

Abstract interface. CPI volatility is always with respect to some base date of the quoted Zero Coupon Caps and Floor. Also deal with lagged observations of an index with a (usually different) availability lag.

Definition at line 35 of file cpivolatilitystructure.hpp.

Constructor & Destructor Documentation

CPIVolatilitySurface()

CPIVolatilitySurface	(	QuantLib::Natural	settlementDays,
		const QuantLib::Calendar &	cal,
		QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dc,
		const QuantLib::Period &	observationLag,
		QuantLib::Frequency	frequency,
		bool	indexIsInterpolated,
		const QuantLib::Date &	capFloorStartDate = QuantLib::Date(),
		QuantLib::VolatilityType	volType = QuantLib::ShiftedLognormal,
		double	displacement = 0.0
	)

the capfloor startdate is the start date of the quoted market instruments, usually its today, but it could be in the future (e.g. AUCPI)

Definition at line 25 of file cpivolatilitystructure.cpp.

    : QuantLib::CPIVolatilitySurface(settlementDays, cal, bdc, dc, observationLag, frequency, indexIsInterpolated),
      volType_(volType), displacement_(displacement), capFloorStartDate_(startDate) {}

Member Function Documentation

optionDateFromTenor()

QuantLib::Date optionDateFromTenor ( const QuantLib::Period &  tenor ) const

override

Computes the expiry date from the capFloorStartDate()

Definition at line 41 of file cpivolatilitystructure.cpp.

                                                                                        {
    return calendar().advance(capFloorStartDate(), tenor, businessDayConvention());
}

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baseDate()

QuantLib::Date baseDate ( ) const

override

base date will be in the past

Definition at line 45 of file cpivolatilitystructure.cpp.

                                                  {
    // Depends on interpolation, or not, of observed index
    // and observation lag with which it was built.
    // We want this to work even if the index does not
    // have a term structure.
    if (indexIsInterpolated()) {
        return capFloorStartDate() - observationLag();
    } else {
        return QuantLib::inflationPeriod(capFloorStartDate() - observationLag(), frequency()).first;
    }
}

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volatilityType()

QuantLib::VolatilityType volatilityType

(

)

const

Returns the volatility type.

Definition at line 53 of file cpivolatilitystructure.hpp.

{ return volType_; }

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displacement()

double displacement

(

)

const

Returns the displacement for lognormal volatilities.

Definition at line 55 of file cpivolatilitystructure.hpp.

{ return displacement_; }

isLogNormal()

bool isLogNormal

(

)

const

Definition at line 57 of file cpivolatilitystructure.hpp.

{ return volatilityType() == QuantLib::ShiftedLognormal; }

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volatility()

QuantLib::Volatility volatility ( const QuantLib::Date &  maturityDate, QuantLib::Rate  strike, const QuantLib::Period &  obsLag = QuantLib::Period(-1, QuantLib::Days), bool  extrapolate = false  ) const

override

Definition at line 61 of file cpivolatilitystructure.cpp.

                                                                                                            {
    if (strike == QuantLib::Null<QuantLib::Real>()) {
        strike = atmStrike(maturityDate, obsLag);
    }
    return QuantLib::CPIVolatilitySurface::volatility(maturityDate, strike, obsLag, extrapolate);
}

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atmStrike()

virtual QuantLib::Real atmStrike ( const QuantLib::Date &  maturity, const QuantLib::Period &  obsLag = QuantLib::Period(-1, QuantLib::Days)  ) const

pure virtual

Implemented in ConstantCPIVolatility, CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime >, InterpolatedCPIVolatilitySurface< Interpolator2D >, SpreadedCPIVolatilitySurface, and StrippedCPIVolatilitySurface< Interpolator2D >.

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capFloorStartDate()

QuantLib::Date capFloorStartDate

(

)

const

Definition at line 33 of file cpivolatilitystructure.cpp.

                                                           {
    if (capFloorStartDate_ == QuantLib::Date()) {
        return referenceDate();
    } else {
        return capFloorStartDate_;
    }
}

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fixingTime()

double fixingTime ( const QuantLib::Date &  maturityDate ) const

protectedvirtual

Computes the expiry time from the capFloorStartDate()

Definition at line 57 of file cpivolatilitystructure.cpp.

                                                                              {
    return timeFromReference(ZeroInflation::fixingDate(maturityDate, observationLag(), frequency(), indexIsInterpolated()));
}

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Member Data Documentation

volType_

QuantLib::VolatilityType volType_

protected

Definition at line 77 of file cpivolatilitystructure.hpp.

displacement_

double displacement_

protected

Definition at line 78 of file cpivolatilitystructure.hpp.

capFloorStartDate_

QuantLib::Date capFloorStartDate_

private

Definition at line 81 of file cpivolatilitystructure.hpp.