#include <qle/termstructures/spreadedcpivolatilitysurface.hpp>

Inheritance diagram for SpreadedCPIVolatilitySurface:

Collaboration diagram for SpreadedCPIVolatilitySurface:

Public Member Functions
	SpreadedCPIVolatilitySurface (const Handle< QuantExt::CPIVolatilitySurface > &baseVol, const std::vector< Date > &optionDates, const std::vector< Real > &strikes, const std::vector< std::vector< Handle< Quote > > > &volSpreads)

Rate	minStrike () const override

Rate	maxStrike () const override

Date	maxDate () const override

Time	maxTime () const override

const Date &	referenceDate () const override

void	update () override

void	deepUpdate () 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

Protected Member Functions
Volatility	volatilityImpl (Time length, Rate strike) const override

void	performCalculations () const override

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

Private Attributes
Handle< QuantExt::CPIVolatilitySurface >	baseVol_

std::vector< Date >	optionDates_

std::vector< Real >	strikes_

std::vector< std::vector< Handle< Quote > > >	volSpreads_

std::vector< Real >	optionTimes_

Matrix	volSpreadValues_

Interpolation2D	volSpreadInterpolation_

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

double	displacement_

Detailed Description

Definition at line 36 of file spreadedcpivolatilitysurface.hpp.

Constructor & Destructor Documentation

◆ SpreadedCPIVolatilitySurface()

SpreadedCPIVolatilitySurface	(	const Handle< QuantExt::CPIVolatilitySurface > &	baseVol,
		const std::vector< Date > &	optionDates,
		const std::vector< Real > &	strikes,
		const std::vector< std::vector< Handle< Quote > > > &	volSpreads
	)

Definition at line 28 of file spreadedcpivolatilitysurface.cpp.

    : QuantExt::CPIVolatilitySurface(baseVol->settlementDays(), baseVol->calendar(), baseVol->businessDayConvention(),
                                     baseVol->dayCounter(), baseVol->observationLag(), baseVol->frequency(),
                                     baseVol->indexIsInterpolated(), baseVol->capFloorStartDate(),
                                     baseVol->volatilityType(), baseVol->displacement()),
      baseVol_(baseVol), optionDates_(optionDates), strikes_(strikes), volSpreads_(volSpreads) {
    registerWith(baseVol_);
    optionTimes_.resize(optionDates_.size());
    volSpreadValues_ = Matrix(strikes_.size(), optionDates_.size());
    for (auto const& v : volSpreads)
        for (auto const& q : v)
            registerWith(q);
}

Member Function Documentation

◆ minStrike()

Rate minStrike ( ) const

override

Definition at line 48 of file spreadedcpivolatilitysurface.cpp.

48{ return baseVol_->minStrike(); }

◆ maxStrike()

Rate maxStrike ( ) const

override

Definition at line 49 of file spreadedcpivolatilitysurface.cpp.

49{ return baseVol_->maxStrike(); }

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 45 of file spreadedcpivolatilitysurface.cpp.

45{ return baseVol_->maxDate(); }

◆ maxTime()

Time maxTime ( ) const

override

Definition at line 46 of file spreadedcpivolatilitysurface.cpp.

46{ return baseVol_->maxTime(); }

◆ referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 47 of file spreadedcpivolatilitysurface.cpp.

47{ return baseVol_->referenceDate(); }

◆ update()

void update ( )

override

Definition at line 70 of file spreadedcpivolatilitysurface.cpp.

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

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◆ deepUpdate()

void deepUpdate ( )

override

Definition at line 75 of file spreadedcpivolatilitysurface.cpp.

                                              {
    baseVol_->update();
    update();
}

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◆ atmStrike()

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

overridevirtual

Implements CPIVolatilitySurface.

Definition at line 80 of file spreadedcpivolatilitysurface.cpp.

                                                                                           {
    // Not relevant for constantCPIVolatiltiy;
    return baseVol_->atmStrike(maturity, obsLag);
};

◆ volatilityImpl()

Volatility volatilityImpl	(	Time	length,
		Rate	strike
	)		const

overrideprotected

Definition at line 51 of file spreadedcpivolatilitysurface.cpp.

                                                                                      {
    calculate();
    return baseVol_->volatility(length, strike) + volSpreadInterpolation_(length, strike);
}

◆ performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 56 of file spreadedcpivolatilitysurface.cpp.

                                                             {
    for (Size i = 0; i < optionDates_.size(); ++i) {
        optionTimes_[i] = fixingTime(optionDates_[i]);
    }
    for (Size k = 0; k < strikes_.size(); ++k) {
        for (Size i = 0; i < optionDates_.size(); ++i) {
            volSpreadValues_(k, i) = volSpreads_[i][k]->value();
        }
    }
    volSpreadInterpolation_ = FlatExtrapolator2D(QuantLib::ext::make_shared<BilinearInterpolation>(
        optionTimes_.begin(), optionTimes_.end(), strikes_.begin(), strikes_.end(), volSpreadValues_));
    volSpreadInterpolation_.enableExtrapolation();
}