PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > Class Template Reference

Piecewise year-on-year inflation volatility term structure. More...

#include <piecewiseyoyoptionletvolatility.hpp>

Inheritance diagram for PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >:

Collaboration diagram for PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >:

Public Types
typedef Traits	traits_type
typedef Interpolator	interpolator_type
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	PiecewiseYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, Real accuracy=1.0e-12, const Interpolator &interpolator=Interpolator())
Inflation interface
Date	baseDate () const override
Date	maxDate () const override
	the latest date for which the curve can return values More...
Inspectors
const std::vector< Time > &	times () const override
const std::vector< Date > &	dates () const override
const std::vector< Real > &	data () const override
std::vector< std::pair< Date, Real > >	nodes () const override
Public Member Functions inherited from InterpolatedYoYOptionletVolatilityCurve< Interpolator >
	InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &d, const std::vector< Volatility > &v, Rate minStrike, Rate maxStrike, const Interpolator &i=Interpolator())
	calculate the reference date based on the global evaluation date More...
	~InterpolatedYoYOptionletVolatilityCurve () override=default
Real	minStrike () const override
	the minimum strike for which the term structure can return vols More...
Real	maxStrike () const override
	the maximum strike for which the term structure can return vols More...
Date	maxDate () const override
	the latest date for which the curve can return values More...
Public Member Functions inherited from YoYOptionletVolatilitySurface
	YoYOptionletVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, VolatilityType volType=ShiftedLognormal, Real displacement=0.0)
	~YoYOptionletVolatilitySurface () override=default
Volatility	volatility (const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
Volatility	volatility (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
	returns the volatility for a given option tenor and strike rate More...
Volatility	volatility (Time time, Rate strike) const
virtual VolatilityType	volatilityType () const
	Returns the volatility type. More...
virtual Real	displacement () const
	Returns the displacement for lognormal volatilities. More...
virtual Volatility	totalVariance (const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
	Returns the total integrated variance for a given exercise date and strike rate. More...
virtual Volatility	totalVariance (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
	returns the total integrated variance for a given option tenor and strike rate More...
virtual Period	observationLag () const
virtual Frequency	frequency () const
virtual bool	indexIsInterpolated () const
virtual Time	timeFromBase (const Date &date, const Period &obsLag=Period(-1, Days)) const
	base date will be in the past because of observation lag More...
virtual Volatility	baseLevel () const
Public Member Functions inherited from VolatilityTermStructure
	VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date More...
	VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date More...
virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion More...
Date	optionDateFromTenor (const Period &) const
	period/date conversion More...
Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...
	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...
	~TermStructure () override=default
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...
Time	timeFromReference (const Date &date) const
	date/time conversion More...
virtual Time	maxTime () const
	the latest time for which the curve can return values More...
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...
virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation More...
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation More...
void	update () override
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
	Extrapolator ()=default
virtual	~Extrapolator ()=default
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()

Private Types
typedef InterpolatedYoYOptionletVolatilityCurve< Interpolator >	base_curve
typedef PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >	this_curve

Observer interface
std::vector< ext::shared_ptr< typename Traits::helper > >	instruments_
Real	accuracy_
Bootstrap< this_curve >	bootstrap_
class	Bootstrap< this_curve >
class	BootstrapError< this_curve >
void	update () override
void	performCalculations () const override

Additional Inherited Members
Protected Member Functions inherited from InterpolatedYoYOptionletVolatilityCurve< Interpolator >
	InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const Interpolator &i=Interpolator())
Volatility	volatilityImpl (Time length, Rate strike) const override
	implements the actual volatility calculation in derived classes More...
Protected Member Functions inherited from YoYOptionletVolatilitySurface
virtual void	checkRange (const Date &, Rate strike, bool extrapolate) const
virtual void	checkRange (Time, Rate strike, bool extrapolate) const
virtual void	setBaseLevel (Volatility v)
Protected Member Functions inherited from VolatilityTermStructure
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check More...
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...
void	checkRange (Time t, bool extrapolate) const
	time-range check More...
Protected Member Functions inherited from InterpolatedCurve< Interpolator >
	InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())
	InterpolatedCurve (std::vector< Time > times, const Interpolator &i=Interpolator())
	InterpolatedCurve (Size n, const Interpolator &i=Interpolator())
	InterpolatedCurve (const Interpolator &i=Interpolator())
	InterpolatedCurve (const InterpolatedCurve &c)
InterpolatedCurve &	operator= (const InterpolatedCurve &c)
	InterpolatedCurve (InterpolatedCurve &&c) noexcept
InterpolatedCurve &	operator= (InterpolatedCurve &&c) noexcept
void	setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)
void	setupInterpolation ()
	~InterpolatedCurve ()=default
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from InterpolatedYoYOptionletVolatilityCurve< Interpolator >
std::vector< Date >	dates_
std::vector< std::pair< Date, Real > >	nodes_
Rate	minStrike_
Rate	maxStrike_
Protected Attributes inherited from YoYOptionletVolatilitySurface
Volatility	baseLevel_
Period	observationLag_
Frequency	frequency_
bool	indexIsInterpolated_
VolatilityType	volType_
Real	displacement_
Protected Attributes inherited from TermStructure
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_
Protected Attributes inherited from InterpolatedCurve< Interpolator >
std::vector< Time >	times_
std::vector< Real >	data_
Interpolation	interpolation_
Interpolator	interpolator_
Date	maxDate_
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = YoYInflationVolatilityTraits>
class QuantLib::PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >

Piecewise year-on-year inflation volatility term structure.

We use a flat smile for bootstrapping at constant K. Happily most of the work has already been done in the bootstrapping classes. We only need to add special attention for the start where there is usually no data, only assumptions.

Definition at line 108 of file piecewiseyoyoptionletvolatility.hpp.

Member Typedef Documentation

base_curve

typedef InterpolatedYoYOptionletVolatilityCurve<Interpolator> base_curve

private

Definition at line 113 of file piecewiseyoyoptionletvolatility.hpp.

this_curve

typedef PiecewiseYoYOptionletVolatilityCurve<Interpolator, Bootstrap, Traits> this_curve

private

Definition at line 116 of file piecewiseyoyoptionletvolatility.hpp.

traits_type

typedef Traits traits_type

Definition at line 118 of file piecewiseyoyoptionletvolatility.hpp.

interpolator_type

typedef Interpolator interpolator_type

Definition at line 119 of file piecewiseyoyoptionletvolatility.hpp.

Constructor & Destructor Documentation

PiecewiseYoYOptionletVolatilityCurve()

PiecewiseYoYOptionletVolatilityCurve	(	Natural	settlementDays,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc,
		const Period &	lag,
		Frequency	frequency,
		bool	indexIsInterpolated,
		Rate	minStrike,
		Rate	maxStrike,
		Volatility	baseYoYVolatility,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		Real	accuracy = 1.0e-12,
		const Interpolator &	interpolator = Interpolator()
	)

Definition at line 121 of file piecewiseyoyoptionletvolatility.hpp.

Member Function Documentation

baseDate()

Date baseDate

overridevirtual

Reimplemented from YoYOptionletVolatilitySurface.

Definition at line 182 of file piecewiseyoyoptionletvolatility.hpp.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 188 of file piecewiseyoyoptionletvolatility.hpp.

times()

const std::vector< Time > & times

overridevirtual

Reimplemented from InterpolatedYoYOptionletVolatilityCurve< Interpolator >.

Definition at line 195 of file piecewiseyoyoptionletvolatility.hpp.

dates()

const std::vector< Date > & dates

overridevirtual

Reimplemented from InterpolatedYoYOptionletVolatilityCurve< Interpolator >.

Definition at line 202 of file piecewiseyoyoptionletvolatility.hpp.

data()

const std::vector< Real > & data

overridevirtual

Reimplemented from InterpolatedYoYOptionletVolatilityCurve< Interpolator >.

Definition at line 209 of file piecewiseyoyoptionletvolatility.hpp.

nodes()

std::vector< std::pair< Date, Real > > nodes

overridevirtual

Reimplemented from InterpolatedYoYOptionletVolatilityCurve< Interpolator >.

Definition at line 216 of file piecewiseyoyoptionletvolatility.hpp.

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 228 of file piecewiseyoyoptionletvolatility.hpp.

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performCalculations()

void performCalculations ( ) const

overrideprivatevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 223 of file piecewiseyoyoptionletvolatility.hpp.

Friends And Related Function Documentation

Bootstrap< this_curve >

friend class Bootstrap< this_curve >

friend

Definition at line 171 of file piecewiseyoyoptionletvolatility.hpp.

BootstrapError< this_curve >

friend class BootstrapError< this_curve >

friend

Definition at line 171 of file piecewiseyoyoptionletvolatility.hpp.

Member Data Documentation

instruments_

std::vector<ext::shared_ptr<typename Traits::helper> > instruments_

private

Definition at line 170 of file piecewiseyoyoptionletvolatility.hpp.

accuracy_

Real accuracy_

private

Definition at line 171 of file piecewiseyoyoptionletvolatility.hpp.

bootstrap_

Bootstrap<this_curve> bootstrap_

private

Definition at line 175 of file piecewiseyoyoptionletvolatility.hpp.