strippedyoyinflationoptionletvol.hpp

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/*! \file qle/termstructures/strippedyoyinflationoptionletvol.hpp
\brief Stripped YoYInfaltion Optionlet Vol Adapter (with a deeper update method, linear interpolation and optional flat
extrapolation) \ingroup termstructures
*/
 
#ifndef quantext_stripped_yoy_inflation_optionlet_vol
#define quantext_stripped_yoy_inflation_optionlet_vol
 
#include <ql/math/interpolation.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
 
namespace QuantExt {
 
/*! Helper class to wrap in a YoYOptionletVolatilitySurface object.
\ingroup termstructures
*/
class StrippedYoYInflationOptionletVol : public QuantLib::YoYOptionletVolatilitySurface, public QuantLib::LazyObject {
public:
    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:
    QuantLib::Rate minStrike() const override;
    QuantLib::Rate maxStrike() const override;
    QuantLib::Volatility volatilityImpl(Time length, QuantLib::Rate strike) const override;
 
private:
    void checkInputs() const;
    void registerWithMarketData();
 
    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_;
    mutable std::vector<std::vector<Volatility> > yoyoptionletVolatilities_;
};
 
inline void StrippedYoYInflationOptionletVol::update() {
    TermStructure::update();
    LazyObject::update();
}
 
} // namespace QuantExt
 
#endif