ConstantCPIVolatility Class Reference

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

Inheritance diagram for ConstantCPIVolatility:

Collaboration diagram for ConstantCPIVolatility:

Public Member Functions
	ConstantCPIVolatility (QuantLib::Volatility v, 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	maxDate () const override
QuantLib::Real	minStrike () const override
QuantLib::Real	maxStrike () const override
QuantLib::Real	atmStrike (const QuantLib::Date &maturity, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days)) const override
Public Member Functions inherited from CPIVolatilitySurface
	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

Private Member Functions
virtual QuantLib::Volatility	volatilityImpl (QuantLib::Time length, QuantLib::Rate strike) const override

Private Attributes
double	constantVol_

Additional Inherited Members
Protected Member Functions inherited from CPIVolatilitySurface
virtual double	fixingTime (const QuantLib::Date &maturityDate) const
	Computes the expiry time from the capFloorStartDate() More...
Protected Attributes inherited from CPIVolatilitySurface
QuantLib::VolatilityType	volType_
double	displacement_

Detailed Description

Definition at line 29 of file constantcpivolatility.hpp.

Constructor & Destructor Documentation

ConstantCPIVolatility()

ConstantCPIVolatility	(	QuantLib::Volatility	v,
		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
	)

Definition at line 24 of file constantcpivolatility.cpp.

    : QuantExt::CPIVolatilitySurface(settlementDays, cal, bdc, dc, observationLag, frequency, indexIsInterpolated,
                                     capFloorStartDate, volType, displacement),
      constantVol_(v){}

Member Function Documentation

maxDate()

QuantLib::Date maxDate ( ) const

override

Definition at line 38 of file constantcpivolatility.hpp.

{ return QuantLib::Date::maxDate(); }

minStrike()

QuantLib::Real minStrike ( ) const

override

Definition at line 40 of file constantcpivolatility.hpp.

{ return QL_MIN_REAL; }

maxStrike()

QuantLib::Real maxStrike ( ) const

override

Definition at line 42 of file constantcpivolatility.hpp.

{ return QL_MAX_REAL; }

atmStrike()

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

overridevirtual

Implements CPIVolatilitySurface.

Definition at line 38 of file constantcpivolatility.cpp.

                                                                                                              {
    // Not relevant for constantCPIVolatiltiy;
    return 0.0;
};

volatilityImpl()

QuantLib::Volatility volatilityImpl ( QuantLib::Time  length, QuantLib::Rate  strike  ) const

overrideprivatevirtual

Definition at line 34 of file constantcpivolatility.cpp.

                                                                                                       {
    return constantVol_;
};

Member Data Documentation

constantVol_

double constantVol_

private

Definition at line 49 of file constantcpivolatility.hpp.