#include <qle/termstructures/strippedyoyinflationoptionletvol.hpp>

Inheritance diagram for StrippedYoYInflationOptionletVol:

Collaboration diagram for StrippedYoYInflationOptionletVol:

Public Member Functions
	StrippedYoYInflationOptionletVol (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &yoyoptionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, VolatilityType type=ShiftedLognormal, Real displacement=0.0)

QuantLib::Date	maxDate () const override

void	performCalculations () const override

void	update () override

const std::vector< Rate > &	yoyoptionletStrikes (Size i) const

const std::vector< Volatility > &	yoyoptionletVolatilities (Size i) const

const std::vector< Date > &	yoyoptionletFixingDates () const

const std::vector< Time > &	yoyoptionletFixingTimes () const

DayCounter	dayCounter () const override

Calendar	calendar () const override

Natural	settlementDays () const override

BusinessDayConvention	businessDayConvention () const override

QuantLib::VolatilityType	volatilityType () const override

QuantLib::Real	displacement () const override

Protected Member Functions
QuantLib::Rate	minStrike () const override

QuantLib::Rate	maxStrike () const override

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

Private Member Functions
void	checkInputs () const

void	registerWithMarketData ()

Private Attributes
Calendar	calendar_

Natural	settlementDays_

BusinessDayConvention	businessDayConvention_

DayCounter	dc_

VolatilityType	type_

Real	displacement_

Size	nYoYOptionletDates_

std::vector< Date >	yoyoptionletDates_

std::vector< Time >	yoyoptionletTimes_

std::vector< std::vector< Rate > >	yoyoptionletStrikes_

Size	nStrikes_

std::vector< std::vector< Handle< Quote > > >	yoyoptionletVolQuotes_

std::vector< std::vector< Volatility > >	yoyoptionletVolatilities_

Detailed Description

Helper class to wrap in a YoYOptionletVolatilitySurface object.

Definition at line 38 of file strippedyoyinflationoptionletvol.hpp.

Constructor & Destructor Documentation

◆ StrippedYoYInflationOptionletVol()

StrippedYoYInflationOptionletVol	(	Natural	settlementDays,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const DayCounter &	dc,
		const Period &	observationLag,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const std::vector< Date > &	yoyoptionletDates,
		const std::vector< Rate > &	strikes,
		const std::vector< std::vector< Handle< Quote > > > &	,
		VolatilityType	type = `ShiftedLognormal`,
		Real	displacement = `0.0`
	)

Definition at line 32 of file strippedyoyinflationoptionletvol.cpp.

    : YoYOptionletVolatilitySurface(settlementDays, calendar, bdc, dc, observationLag, frequency, indexIsInterpolated),
      calendar_(calendar), settlementDays_(settlementDays), businessDayConvention_(bdc), dc_(dc), type_(type),
      displacement_(displacement), nYoYOptionletDates_(yoyoptionletDates.size()), yoyoptionletDates_(yoyoptionletDates),
      yoyoptionletTimes_(nYoYOptionletDates_), yoyoptionletStrikes_(nYoYOptionletDates_, strikes),
      nStrikes_(strikes.size()), yoyoptionletVolQuotes_(v),
      yoyoptionletVolatilities_(nYoYOptionletDates_, vector<Volatility>(nStrikes_)) {
 
    checkInputs();
    registerWith(Settings::instance().evaluationDate());
    registerWithMarketData();
 
    for (Size i = 0; i < nYoYOptionletDates_; ++i)
        yoyoptionletTimes_[i] = dc_.yearFraction(Settings::instance().evaluationDate(), yoyoptionletDates_[i]);
}

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Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

override

Definition at line 114 of file strippedyoyinflationoptionletvol.cpp.

114{ return yoyoptionletFixingDates().back(); }

QuantExt::StrippedYoYInflationOptionletVol::yoyoptionletFixingDates

const std::vector< Date > & yoyoptionletFixingDates() const

Definition: strippedyoyinflationoptionletvol.cpp:129

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◆ performCalculations()

void performCalculations ( ) const

override

Definition at line 104 of file strippedyoyinflationoptionletvol.cpp.

                                                                 {
    for (Size i = 0; i < nYoYOptionletDates_; ++i)
        for (Size j = 0; j < nStrikes_; ++j)
            yoyoptionletVolatilities_[i][j] = yoyoptionletVolQuotes_[i][j]->value();
}

◆ update()

void update ( )

override

Definition at line 90 of file strippedyoyinflationoptionletvol.hpp.

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

◆ yoyoptionletStrikes()

const vector< Rate > & yoyoptionletStrikes ( Size i ) const

Definition at line 116 of file strippedyoyinflationoptionletvol.cpp.

                                                                                      {
    QL_REQUIRE(i < yoyoptionletStrikes_.size(), "index (" << i << ") must be less than yoyoptionletStrikes size ("
                                                          << yoyoptionletStrikes_.size() << ")");
    return yoyoptionletStrikes_[i];
}

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◆ yoyoptionletVolatilities()

const vector< Volatility > & yoyoptionletVolatilities ( Size i ) const

Definition at line 122 of file strippedyoyinflationoptionletvol.cpp.

                                                                                                 {
    QL_REQUIRE(i < yoyoptionletVolatilities_.size(), "index (" << i
                                                               << ") must be less than yoyoptionletVolatilities size ("
                                                               << yoyoptionletVolatilities_.size() << ")");
    return yoyoptionletVolatilities_[i];
}

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◆ yoyoptionletFixingDates()

const vector< Date > & yoyoptionletFixingDates ( ) const

Definition at line 129 of file strippedyoyinflationoptionletvol.cpp.

129{ return yoyoptionletDates_; }

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◆ yoyoptionletFixingTimes()

const vector< Time > & yoyoptionletFixingTimes ( ) const

Definition at line 131 of file strippedyoyinflationoptionletvol.cpp.

131{ return yoyoptionletTimes_; }

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◆ dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 133 of file strippedyoyinflationoptionletvol.cpp.

133{ return dc_; }

◆ calendar()

Calendar calendar ( ) const

override

Definition at line 135 of file strippedyoyinflationoptionletvol.cpp.

135{ return calendar_; }

◆ settlementDays()

Natural settlementDays ( ) const

override

Definition at line 137 of file strippedyoyinflationoptionletvol.cpp.

137{ return settlementDays_; }

◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

override

Definition at line 139 of file strippedyoyinflationoptionletvol.cpp.

139{ return businessDayConvention_; }

◆ volatilityType()

VolatilityType volatilityType ( ) const

override

Definition at line 141 of file strippedyoyinflationoptionletvol.cpp.

141{ return type_; }

◆ displacement()

Real displacement ( ) const

override

Definition at line 143 of file strippedyoyinflationoptionletvol.cpp.

143{ return displacement_; }

◆ minStrike()

Rate minStrike ( ) const

overrideprotected

Definition at line 110 of file strippedyoyinflationoptionletvol.cpp.

110{ return yoyoptionletStrikes(0).front(); }

QuantExt::StrippedYoYInflationOptionletVol::yoyoptionletStrikes

const std::vector< Rate > & yoyoptionletStrikes(Size i) const

Definition: strippedyoyinflationoptionletvol.cpp:116

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◆ maxStrike()

Rate maxStrike ( ) const

overrideprotected

Definition at line 112 of file strippedyoyinflationoptionletvol.cpp.

112{ return yoyoptionletStrikes(0).back(); }

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◆ volatilityImpl()

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

overrideprotected

Definition at line 85 of file strippedyoyinflationoptionletvol.cpp.

                                                                                          {
    calculate();
 
    std::vector<Volatility> vol(nYoYOptionletDates_);
    for (Size i = 0; i < nYoYOptionletDates_; ++i) {
        const std::vector<Rate>& yoyoptionletStrikes = StrippedYoYInflationOptionletVol::yoyoptionletStrikes(i);
        const std::vector<Volatility>& yoyoptionletVolatilities =
            StrippedYoYInflationOptionletVol::yoyoptionletVolatilities(i);
        QuantLib::ext::shared_ptr<LinearInterpolation> tmp(new LinearInterpolation(
            yoyoptionletStrikes.begin(), yoyoptionletStrikes.end(), yoyoptionletVolatilities.begin()));
        vol[i] = tmp->operator()(strike, true);
    }
 
    const std::vector<Time>& yoyoptionletTimes = yoyoptionletFixingTimes();
    QuantLib::ext::shared_ptr<LinearInterpolation> timeVolInterpolator(
        new LinearInterpolation(yoyoptionletTimes.begin(), yoyoptionletTimes.end(), vol.begin()));
    return timeVolInterpolator->operator()(length, true);
}

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◆ checkInputs()

void checkInputs ( ) const

private

Definition at line 52 of file strippedyoyinflationoptionletvol.cpp.

                                                         {
    if (type_ == Normal) {
        QL_REQUIRE(displacement_ == 0.0, "non-null displacement is not allowed with Normal model");
    }
 
    QL_REQUIRE(!yoyoptionletDates_.empty(), "empty yoy optionlet tenor vector");
    QL_REQUIRE(nYoYOptionletDates_ == yoyoptionletVolQuotes_.size(), "mismatch between number of option tenors ("
                                                                         << nYoYOptionletDates_
                                                                         << ") and number of volatility rows ("
                                                                         << yoyoptionletVolQuotes_.size() << ")");
    QL_REQUIRE(yoyoptionletDates_[0] > Settings::instance().evaluationDate(),
               "first option date (" << yoyoptionletDates_[0] << ") is in the past");
    for (Size i = 1; i < nYoYOptionletDates_; ++i)
        QL_REQUIRE(yoyoptionletDates_[i] > yoyoptionletDates_[i - 1],
                   "non increasing option dates: " << io::ordinal(i) << " is " << yoyoptionletDates_[i - 1] << ", "
                                                   << io::ordinal(i + 1) << " is " << yoyoptionletDates_[i]);
 
    QL_REQUIRE(nStrikes_ == yoyoptionletVolQuotes_[0].size(),
               "mismatch between strikes(" << yoyoptionletStrikes_[0].size() << ") and vol columns ("
                                           << yoyoptionletVolQuotes_[0].size() << ")");
    for (Size j = 1; j < nStrikes_; ++j)
        QL_REQUIRE(yoyoptionletStrikes_[0][j - 1] < yoyoptionletStrikes_[0][j],
                   "non increasing strikes: " << io::ordinal(j) << " is " << io::rate(yoyoptionletStrikes_[0][j - 1])
                                              << ", " << io::ordinal(j + 1) << " is "
                                              << io::rate(yoyoptionletStrikes_[0][j]));
}

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◆ registerWithMarketData()

void registerWithMarketData ( )

private

Definition at line 79 of file strippedyoyinflationoptionletvol.cpp.

                                                              {
    for (Size i = 0; i < nYoYOptionletDates_; ++i)
        for (Size j = 0; j < nStrikes_; ++j)
            registerWith(yoyoptionletVolQuotes_[i][j]);
}

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Member Data Documentation

◆ calendar_

Calendar calendar_

private

Definition at line 73 of file strippedyoyinflationoptionletvol.hpp.

◆ settlementDays_

Natural settlementDays_

private

Definition at line 74 of file strippedyoyinflationoptionletvol.hpp.

◆ businessDayConvention_

BusinessDayConvention businessDayConvention_

private

Definition at line 75 of file strippedyoyinflationoptionletvol.hpp.

◆ dc_

DayCounter dc_

private

Definition at line 76 of file strippedyoyinflationoptionletvol.hpp.

◆ type_

VolatilityType type_

private

Definition at line 77 of file strippedyoyinflationoptionletvol.hpp.

◆ displacement_

Real displacement_

private

Definition at line 78 of file strippedyoyinflationoptionletvol.hpp.

◆ nYoYOptionletDates_

Size nYoYOptionletDates_

private

Definition at line 80 of file strippedyoyinflationoptionletvol.hpp.

◆ yoyoptionletDates_

std::vector<Date> yoyoptionletDates_

private

Definition at line 81 of file strippedyoyinflationoptionletvol.hpp.

◆ yoyoptionletTimes_

std::vector<Time> yoyoptionletTimes_

private

Definition at line 82 of file strippedyoyinflationoptionletvol.hpp.

◆ yoyoptionletStrikes_

std::vector<std::vector<Rate> > yoyoptionletStrikes_

private

Definition at line 83 of file strippedyoyinflationoptionletvol.hpp.

◆ nStrikes_

Size nStrikes_

private

Definition at line 84 of file strippedyoyinflationoptionletvol.hpp.

◆ yoyoptionletVolQuotes_

std::vector<std::vector<Handle<Quote> > > yoyoptionletVolQuotes_

private

Definition at line 86 of file strippedyoyinflationoptionletvol.hpp.

◆ yoyoptionletVolatilities_

std::vector<std::vector<Volatility> > yoyoptionletVolatilities_

mutableprivate

Definition at line 87 of file strippedyoyinflationoptionletvol.hpp.

Public Member Functions

Protected Member Functions

Private Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ StrippedYoYInflationOptionletVol()

Member Function Documentation

◆ maxDate()

◆ performCalculations()

◆ update()

◆ yoyoptionletStrikes()

◆ yoyoptionletVolatilities()

◆ yoyoptionletFixingDates()

◆ yoyoptionletFixingTimes()

◆ dayCounter()

◆ calendar()

◆ settlementDays()

◆ businessDayConvention()

◆ volatilityType()

◆ displacement()

◆ minStrike()

◆ maxStrike()

◆ volatilityImpl()

◆ checkInputs()

◆ registerWithMarketData()

Member Data Documentation

◆ calendar_

◆ settlementDays_

◆ businessDayConvention_

◆ dc_

◆ type_

◆ displacement_

◆ nYoYOptionletDates_

◆ yoyoptionletDates_

◆ yoyoptionletTimes_

◆ yoyoptionletStrikes_

◆ nStrikes_

◆ yoyoptionletVolQuotes_

◆ yoyoptionletVolatilities_