Interpolated zero inflation volatility structure. More...

#include <qle/termstructures/interpolatedcpivolatilitysurface.hpp>

Inheritance diagram for InterpolatedCPIVolatilitySurface< Interpolator2D >:

Collaboration diagram for InterpolatedCPIVolatilitySurface< Interpolator2D >:

Public Member Functions
	InterpolatedCPIVolatilitySurface (const std::vector< Period > &optionTenors, const std::vector< Real > &strikes, const std::vector< std::vector< Handle< Quote > > > quotes, const QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > &index, const bool quotedInstrumentsAreInterpolated, const Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, const Date &capFloorStartDate=Date(), const Interpolator2D &interpolator2d=Interpolator2D(), const QuantLib::VolatilityType volType=QuantLib::ShiftedLognormal, const double displacement=0.0)

QL_DEPRECATED	InterpolatedCPIVolatilitySurface (const std::vector< Period > &optionTenors, const std::vector< Real > &strikes, const std::vector< std::vector< Handle< Quote > > > quotes, const QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > &index, const Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, const Date &capFloorStartDate=Date(), const Interpolator2D &interpolator2d=Interpolator2D(), const QuantLib::VolatilityType volType=QuantLib::ShiftedLognormal, const double displacement=0.0)

LazyObject interface
void	performCalculations () const override

void	update () override

Limits
QuantLib::Real	minStrike () const override
	the minimum strike for which the term structure can return vols More...

QuantLib::Real	maxStrike () const override
	the maximum strike for which the term structure can return vols More...

QuantLib::Date	maxDate () const override
	maximum date for which the term structure can return vols More...

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

Inspectors
std::vector< QuantLib::Period >	optionTenors_

std::vector< QuantLib::Time >	optionTimes_

std::vector< QuantLib::Rate >	strikes_

std::vector< std::vector< Handle< Quote > > >	quotes_

QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex >	index_

Matrix	volData_

QuantLib::Interpolation2D	vols_

Interpolator2D	interpolator2d_

const std::vector< QuantLib::Real > &	strikes ()

const std::vector< QuantLib::Period > &	optionTenors ()

const std::vector< std::vector< Handle< Quote > > > &	quotes ()

const QuantLib::Matrix &	volData ()

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

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

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

template<class Interpolator2D>
class QuantExt::InterpolatedCPIVolatilitySurface< Interpolator2D >

Interpolated zero inflation volatility structure.

The surface provides interpolated CPI Black volatilities. Volatility data is passed in as a vector of vector of quote Handles. When performCalculations is called, current quote values are copied to a matrix and the interpolator is updated.

Definition at line 44 of file interpolatedcpivolatilitysurface.hpp.

Constructor & Destructor Documentation

◆ InterpolatedCPIVolatilitySurface() [1/2]

InterpolatedCPIVolatilitySurface	(	const std::vector< Period > &	optionTenors,
		const std::vector< Real > &	strikes,
		const std::vector< std::vector< Handle< Quote > > >	quotes,
		const QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > &	index,
		const bool	quotedInstrumentsAreInterpolated,
		const Natural	settlementDays,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc,
		const Period &	observationLag,
		const Date &	capFloorStartDate = `Date()`,
		const Interpolator2D &	interpolator2d = `Interpolator2D()`,
		const QuantLib::VolatilityType	volType = `QuantLib::ShiftedLognormal`,
		const double	displacement = `0.0`
	)

Definition at line 115 of file interpolatedcpivolatilitysurface.hpp.

    : CPIVolatilitySurface(settlementDays, cal, bdc, dc, observationLag, index->frequency(),
                           quotedInstrumentsOberserveInterpolated,
                           capFloorStartDate, volType, displacement),
      optionTenors_(optionTenors), strikes_(strikes), quotes_(quotes), index_(index), interpolator2d_(interpolator2d) {
    for (Size i = 0; i < optionTenors_.size(); ++i) {
        QL_REQUIRE(quotes_[i].size() == strikes_.size(), "quotes row " << i << " length does not match strikes size");
        for (Size j = 0; j < strikes_.size(); ++j)
            registerWith(quotes_[i][j]);
    }
}

◆ InterpolatedCPIVolatilitySurface() [2/2]

QL_DEPRECATED_DISABLE_WARNING InterpolatedCPIVolatilitySurface	(	const std::vector< Period > &	optionTenors,
		const std::vector< Real > &	strikes,
		const std::vector< std::vector< Handle< Quote > > >	quotes,
		const QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > &	index,
		const Natural	settlementDays,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc,
		const Period &	observationLag,
		const Date &	capFloorStartDate = `Date()`,
		const Interpolator2D &	interpolator2d = `Interpolator2D()`,
		const QuantLib::VolatilityType	volType = `QuantLib::ShiftedLognormal`,
		const double	displacement = `0.0`
	)

Definition at line 135 of file interpolatedcpivolatilitysurface.hpp.

    : CPIVolatilitySurface(settlementDays, cal, bdc, dc, observationLag, index->frequency(), index->interpolated(),
                           capFloorStartDate, volType, displacement),
      optionTenors_(optionTenors), strikes_(strikes), quotes_(quotes), index_(index), interpolator2d_(interpolator2d) {
    for (Size i = 0; i < optionTenors_.size(); ++i) {
        QL_REQUIRE(quotes_[i].size() == strikes_.size(), "quotes row " << i << " length does not match strikes size");
        for (Size j = 0; j < strikes_.size(); ++j)
            registerWith(quotes_[i][j]);
    }
}

Member Function Documentation

◆ performCalculations()

QL_DEPRECATED_ENABLE_WARNING void performCalculations

override

Definition at line 152 of file interpolatedcpivolatilitysurface.hpp.

                                                                                                                 {
    volData_ = QuantLib::Matrix(strikes_.size(), optionTenors_.size(), QuantLib::Null<QuantLib::Real>());
    QL_REQUIRE(quotes_.size() == optionTenors_.size(), "quotes rows does not match option tenors size");
    optionTimes_.clear();
    for (Size i = 0; i < optionTenors_.size(); ++i) {
        QuantLib::Date d = optionDateFromTenor(optionTenors_[i]);
        // Save the vols at their fixing times and not maturity
        optionTimes_.push_back(fixingTime(d));
        for (QuantLib::Size j = 0; j < strikes_.size(); j++)
            volData_[j][i] = quotes_[i][j]->value();
    }
 
    vols_ = interpolator2d_.interpolate(optionTimes_.begin(), optionTimes_.end(), strikes_.begin(), strikes_.end(),
                                        volData_);
    // FIXME ?
    vols_.enableExtrapolation();
    vols_.update();
}

◆ update()

void update ( )

override

Definition at line 72 of file interpolatedcpivolatilitysurface.hpp.

                           {
        LazyObject::update();
        CPIVolatilitySurface::update();
    }

◆ minStrike()

QuantLib::Real minStrike

override

the minimum strike for which the term structure can return vols

Definition at line 171 of file interpolatedcpivolatilitysurface.hpp.

                                                                                                               {
    return strikes_.front() - QL_EPSILON;
}

◆ maxStrike()

QuantLib::Real maxStrike

override

the maximum strike for which the term structure can return vols

Definition at line 175 of file interpolatedcpivolatilitysurface.hpp.

                                                                                                               {
    return strikes_.back() + QL_EPSILON;
}

◆ maxDate()

QuantLib::Date maxDate

override

maximum date for which the term structure can return vols

Definition at line 179 of file interpolatedcpivolatilitysurface.hpp.

                                                                                                             {
    QuantLib::Date today = QuantLib::Settings::instance().evaluationDate();
    return today + optionTenors_.back();
}

◆ strikes()

const std::vector< QuantLib::Real > & strikes ( )

Definition at line 90 of file interpolatedcpivolatilitysurface.hpp.

90{ return strikes_; }

◆ optionTenors()

const std::vector< QuantLib::Period > & optionTenors ( )

Definition at line 91 of file interpolatedcpivolatilitysurface.hpp.

91{ return optionTenors_; }

◆ quotes()

const std::vector< std::vector< Handle< Quote > > > & quotes ( )

Definition at line 92 of file interpolatedcpivolatilitysurface.hpp.

92{ return quotes_; }

◆ volData()

const QuantLib::Matrix & volData ( )

Definition at line 93 of file interpolatedcpivolatilitysurface.hpp.

93{ return volData_; }

◆ volatilityImpl()

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

override

Definition at line 185 of file interpolatedcpivolatilitysurface.hpp.

                                                                                                                 {
    calculate();
    return vols_(length, strike);
}

◆ atmStrike()

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

overridevirtual

Implements CPIVolatilitySurface.

Definition at line 192 of file interpolatedcpivolatilitysurface.hpp.

                                                                                                               {
    QuantLib::Period lag = obsLag == -1 * QuantLib::Days ? observationLag() : obsLag;
    QuantLib::Date fixingDate = ZeroInflation::fixingDate(maturity, lag, frequency(), indexIsInterpolated());
    double forwardCPI = ZeroInflation::cpiFixing(index_, maturity, lag, indexIsInterpolated());
    double baseCPI = ZeroInflation::cpiFixing(
        index_, capFloorStartDate(), observationLag(), indexIsInterpolated());
    double atm = forwardCPI / baseCPI;
    double ttm =
        QuantLib::inflationYearFraction(frequency(), indexIsInterpolated(), dayCounter(), baseDate(), fixingDate);
    return std::pow(atm, 1.0 / ttm) - 1.0;
}

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Member Data Documentation

◆ optionTenors_

std::vector<QuantLib::Period> optionTenors_

mutableprivate

Definition at line 103 of file interpolatedcpivolatilitysurface.hpp.

◆ optionTimes_

std::vector<QuantLib::Time> optionTimes_

mutableprivate

Definition at line 104 of file interpolatedcpivolatilitysurface.hpp.

◆ strikes_

std::vector<QuantLib::Rate> strikes_

mutableprivate

Definition at line 105 of file interpolatedcpivolatilitysurface.hpp.

◆ quotes_

std::vector<std::vector<Handle<Quote> > > quotes_

mutableprivate

Definition at line 106 of file interpolatedcpivolatilitysurface.hpp.

◆ index_

QuantLib::ext::shared_ptr<QuantLib::ZeroInflationIndex> index_

private

Definition at line 107 of file interpolatedcpivolatilitysurface.hpp.

◆ volData_

Matrix volData_

mutableprivate

Definition at line 108 of file interpolatedcpivolatilitysurface.hpp.

◆ vols_

QuantLib::Interpolation2D vols_

mutableprivate

Definition at line 109 of file interpolatedcpivolatilitysurface.hpp.

◆ interpolator2d_

Interpolator2D interpolator2d_

private

Definition at line 110 of file interpolatedcpivolatilitysurface.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ InterpolatedCPIVolatilitySurface() [1/2]

◆ InterpolatedCPIVolatilitySurface() [2/2]

Member Function Documentation

◆ performCalculations()

◆ update()

◆ minStrike()

◆ maxStrike()

◆ maxDate()

◆ strikes()

◆ optionTenors()

◆ quotes()

◆ volData()

◆ volatilityImpl()

◆ atmStrike()

Member Data Documentation

◆ optionTenors_

◆ optionTimes_

◆ strikes_

◆ quotes_

◆ index_

◆ volData_

◆ vols_

◆ interpolator2d_