K-interpolated YoY optionlet volatility. More...

#include <qle/termstructures/kinterpolatedyoyoptionletvolatilitysurface.hpp>

Inheritance diagram for KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >:

Collaboration diagram for KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >:

Constructor
calculate the reference date based on the global evaluation date
ext::shared_ptr< YoYCapFloorTermPriceSurface >	capFloorPrices_

ext::shared_ptr< QuantLib::YoYInflationCapFloorEngine >	yoyInflationCouponPricer_

ext::shared_ptr< YoYOptionletStripper >	yoyOptionletStripper_

Interpolator1D	factory1D_

Real	slope_

bool	lastDateisSet_

Date	lastDate_

Interpolation	tempKinterpolation_

std::pair< std::vector< Rate >, std::vector< Volatility > >	slice_

	KInterpolatedYoYOptionletVolatilitySurface (const Natural settlementDays, const Calendar &, const BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, const ext::shared_ptr< YoYCapFloorTermPriceSurface > &capFloorPrices, const ext::shared_ptr< QuantLib::YoYInflationCapFloorEngine > &pricer, const ext::shared_ptr< YoYOptionletStripper > &yoyOptionletStripper, const Real slope, const Interpolator1D &interpolator=Interpolator1D(), VolatilityType volType=ShiftedLognormal, Real displacement=0.0)

virtual Real	minStrike () const override

virtual Real	maxStrike () const override

virtual Date	maxDate () const override

std::pair< std::vector< Rate >, std::vector< Volatility > >	Dslice (const Date &d) const

virtual Volatility	volatilityImpl (const Date &d, Rate strike) const

virtual Volatility	volatilityImpl (Time length, Rate strike) const override

virtual void	performCalculations () const

void	updateSlice (const Date &d) const

Detailed Description

template<class Interpolator1D>
class QuantExt::KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >

K-interpolated YoY optionlet volatility.

The stripper provides curves in the T direction along each K. We don't know whether this is interpolating or fitting in the T direction. Our K direction interpolations are not model fitting.

An alternative design would be a FittedYoYOptionletVolatilitySurface taking a model, e.g. SABR in the interest rate world. This could use the same stripping in the T direction along each K.

Bug:: Tests currently fail.

Definition at line 60 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

Constructor & Destructor Documentation

◆ KInterpolatedYoYOptionletVolatilitySurface()

KInterpolatedYoYOptionletVolatilitySurface	(	const Natural	settlementDays,
		const Calendar &	cal,
		const BusinessDayConvention	bdc,
		const DayCounter &	dc,
		const Period &	lag,
		const ext::shared_ptr< YoYCapFloorTermPriceSurface > &	capFloorPrices,
		const ext::shared_ptr< QuantLib::YoYInflationCapFloorEngine > &	pricer,
		const ext::shared_ptr< YoYOptionletStripper > &	yoyOptionletStripper,
		const Real	slope,
		const Interpolator1D &	interpolator = `Interpolator1D()`,
		VolatilityType	volType = `ShiftedLognormal`,
		Real	displacement = `0.0`
	)

Definition at line 110 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

    : YoYOptionletVolatilitySurface(settlementDays, cal, bdc, dc, lag,
                                    capFloorPrices->yoyIndex()->frequency(),
                                    capFloorPrices->yoyIndex()->interpolated(),
                                    volType, displacement),
      capFloorPrices_(capFloorPrices), yoyInflationCouponPricer_(pricer),
      yoyOptionletStripper_(yoyOptionletStripper),
      factory1D_(interpolator), slope_(slope), lastDateisSet_(false) {
        performCalculations();
    }

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Member Function Documentation

◆ minStrike()

Real minStrike

overridevirtual

Definition at line 144 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

                      {
        return capFloorPrices_->strikes().front();
    }

◆ maxStrike()

Real maxStrike

overridevirtual

Definition at line 151 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

                      {
        return capFloorPrices_->strikes().back();
    }

◆ maxDate()

Date maxDate

overridevirtual

Definition at line 136 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

                    {
        Size n = capFloorPrices_->maturities().size();
        return referenceDate()+capFloorPrices_->maturities()[n-1];
    }

◆ Dslice()

std::pair< std::vector< Rate >, std::vector< Volatility > > Dslice ( const Date & d ) const

Definition at line 183 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

                                {
        updateSlice(d);
        return slice_;
    }

◆ volatilityImpl() [1/2]

Volatility volatilityImpl	(	const Date &	d,
		Rate	strike
	)		const

protectedvirtual

Definition at line 169 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

                                                     {
        updateSlice(d);
        // patch 1 for QL class:
        // extrapolation on interpolator (if enabled in this class)
        if (this->allowsExtrapolation()) {
            this->tempKinterpolation_.enableExtrapolation();
        }
        return tempKinterpolation_(strike);
    }

◆ volatilityImpl() [2/2]

Volatility volatilityImpl	(	Time	length,
		Rate	strike
	)		const

overrideprotectedvirtual

Definition at line 191 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

                                                    {
 
        Natural years = (Natural)floor(length);
        Natural days = (Natural)floor((length - years) * 365.0);
        Date d = referenceDate() + Period(years, Years) + Period(days, Days);
 
        return this->volatilityImpl(d, strike);
    }

◆ performCalculations()

void performCalculations

protectedvirtual

Definition at line 158 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

                                {
 
        // slope is the assumption on the initial caplet volatility change
        yoyOptionletStripper_->initialize(capFloorPrices_,
                                          yoyInflationCouponPricer_,
                                          slope_);
    }

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◆ updateSlice()

void updateSlice ( const Date & d ) const

private

Definition at line 202 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

                                     {
 
        if (!lastDateisSet_ || d != lastDate_ ) {
            // patch 2 for QL class:
            // add observation lag, this is subtracted again in the stripper
            Date d_eff = d + capFloorPrices_->observationLag();
            // patch 3 for QL class:
            // flat extrapolation in date direction, if extrapolation is enabled
            if (this->allowsExtrapolation())
                d_eff = std::min(d_eff, maxDate());
            slice_ = yoyOptionletStripper_->slice(d_eff);
 
            tempKinterpolation_ =
                factory1D_.interpolate( slice_.first.begin(),
                                        slice_.first.end(),
                                        slice_.second.begin() );
            lastDateisSet_ = true;
            lastDate_ = d;
        }
    }