DynamicCPIVolatilitySurface Class Reference

Converts a CPIVolatilityStructure with fixed reference date into a floating reference date term structure. More...

#include <qle/termstructures/dynamiccpivolatilitystructure.hpp>

Inheritance diagram for DynamicCPIVolatilitySurface:

Collaboration diagram for DynamicCPIVolatilitySurface:

Public Member Functions
	DynamicCPIVolatilitySurface (const QuantLib::ext::shared_ptr< CPIVolatilitySurface > &source, ReactionToTimeDecay decayMode=ConstantVariance)
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

Protected Member Functions
CPIVolatilitySurface interface
Volatility	volatilityImpl (Time length, Rate strike) const override
VolatilityTermStructure interface
Rate	minStrike () const override
Rate	maxStrike () const override
Date	maxDate () const override
Protected Member Functions inherited from CPIVolatilitySurface
virtual double	fixingTime (const QuantLib::Date &maturityDate) const
	Computes the expiry time from the capFloorStartDate() More...

Observer interface
const QuantLib::ext::shared_ptr< CPIVolatilitySurface >	source_
ReactionToTimeDecay	decayMode_
const Date	originalReferenceDate_
void	update () override

Additional Inherited Members
Protected Attributes inherited from CPIVolatilitySurface
QuantLib::VolatilityType	volType_
double	displacement_

Detailed Description

Converts a CPIVolatilityStructure with fixed reference date into a floating reference date term structure.

Different ways of reacting to time decay can be specified.

Definition at line 41 of file dynamiccpivolatilitystructure.hpp.

Constructor & Destructor Documentation

DynamicCPIVolatilitySurface()

DynamicCPIVolatilitySurface	(	const QuantLib::ext::shared_ptr< CPIVolatilitySurface > &	source,
		ReactionToTimeDecay	decayMode = ConstantVariance
	)

Definition at line 22 of file dynamiccpivolatilitystructure.cpp.

    : CPIVolatilitySurface(source->settlementDays(), source->calendar(), source->businessDayConvention(),
                           source->dayCounter(), source->observationLag(), source->frequency(),
                           source->indexIsInterpolated()),
      source_(source), decayMode_(decayMode), originalReferenceDate_(source->referenceDate()) {
    // Set extrapolation to source's extrapolation initially
    enableExtrapolation(source->allowsExtrapolation());
}

Member Function Documentation

volatilityImpl()

Volatility volatilityImpl ( Time  length, Rate  strike  ) const

overrideprotected

Definition at line 52 of file dynamiccpivolatilitystructure.cpp.

                                                                                     {
    if (decayMode_ == ConstantVariance) {
        // FIXME!
        Date m = referenceDate() + int(floor(365.25 * length)) * Days;
        return source_->volatility(m, strike, source_->observationLag());
    }
 
    // TODO: check validity of ForwardVariance option before using it.
    QL_REQUIRE(decayMode_ != ForwardForwardVariance,
               "ForwardVariance not yet supported for DynamicCPiVolatilityStructure");
    // if (decayMode_ == ForwardForwardVariance) {
    //     Volatility varToRef = source_->totalVariance(referenceDate(), strike, source_->observationLag());
    //     Volatility varToOptTime = source_->totalVariance(optionDate, strike, source_->observationLag());
    //     return std::sqrt((varToOptTime - varToRef) / timeFromReference(optionDate));
    // }
 
    QL_FAIL("Unexpected decay mode (" << decayMode_ << ")");
}

minStrike()

Rate minStrike ( ) const

overrideprotected

Definition at line 32 of file dynamiccpivolatilitystructure.cpp.

{ return source_->minStrike(); }

maxStrike()

Rate maxStrike ( ) const

overrideprotected

Definition at line 34 of file dynamiccpivolatilitystructure.cpp.

{ return source_->maxStrike(); }

maxDate()

Date maxDate ( ) const

overrideprotected

Definition at line 36 of file dynamiccpivolatilitystructure.cpp.

                                                {
    if (decayMode_ == ForwardForwardVariance) {
        return source_->maxDate();
    }
 
    if (decayMode_ == ConstantVariance) {
        return Date(std::min(Date::maxDate().serialNumber(), referenceDate().serialNumber() -
                                                                 originalReferenceDate_.serialNumber() +
                                                                 source_->maxDate().serialNumber()));
    }
 
    QL_FAIL("unexpected decay mode (" << decayMode_ << ")");
}

update()

void update ( )

overrideprotected

Definition at line 50 of file dynamiccpivolatilitystructure.cpp.

{ TermStructure::update(); }

Member Data Documentation

source_

const QuantLib::ext::shared_ptr<CPIVolatilitySurface> source_

private

Definition at line 69 of file dynamiccpivolatilitystructure.hpp.

decayMode_

ReactionToTimeDecay decayMode_

private

Definition at line 70 of file dynamiccpivolatilitystructure.hpp.

originalReferenceDate_

const Date originalReferenceDate_

private

Definition at line 71 of file dynamiccpivolatilitystructure.hpp.