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fully annotated source code - version 1.34
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InterpolatedYoYOptionletVolatilityCurve< Interpolator1D > Class Template Reference

Interpolated flat smile surface. More...

#include <yoyinflationoptionletvolatilitystructure2.hpp>

+ Inheritance diagram for InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >:
+ Collaboration diagram for InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >:

Public Member Functions

Constructor
 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 Interpolator1D &i=Interpolator1D())
 calculate the reference date based on the global evaluation date More...
 
 ~InterpolatedYoYOptionletVolatilityCurve () override=default
 
Limits
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 Date baseDate () 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 DatereferenceDate () 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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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...
 

Bootstrap interface

std::vector< Datedates_
 
std::vector< std::pair< Date, Real > > nodes_
 
Rate minStrike_
 
Rate maxStrike_
 
virtual const std::vector< Time > & times () const
 
virtual const std::vector< Date > & dates () const
 
virtual const std::vector< Real > & data () const
 
virtual std::vector< std::pair< Date, Real > > nodes () const
 
 InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const Interpolator1D &i=Interpolator1D())
 
Volatility volatilityImpl (Time length, Rate strike) const override
 implements the actual volatility calculation in derived classes More...
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- 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< Interpolator1D >
 InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator1D &i=Interpolator1D())
 
 InterpolatedCurve (std::vector< Time > times, const Interpolator1D &i=Interpolator1D())
 
 InterpolatedCurve (Size n, const Interpolator1D &i=Interpolator1D())
 
 InterpolatedCurve (const Interpolator1D &i=Interpolator1D())
 
 InterpolatedCurve (const InterpolatedCurve &c)
 
InterpolatedCurveoperator= (const InterpolatedCurve &c)
 
 InterpolatedCurve (InterpolatedCurve &&c) noexcept
 
InterpolatedCurveoperator= (InterpolatedCurve &&c) noexcept
 
void setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)
 
void setupInterpolation ()
 
 ~InterpolatedCurve ()=default
 
- 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< Interpolator1D >
std::vector< Timetimes_
 
std::vector< Realdata_
 
Interpolation interpolation_
 
Interpolator1D interpolator_
 
Date maxDate_
 

Detailed Description

template<class Interpolator1D>
class QuantLib::InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >

Interpolated flat smile surface.

Interpolated in T direction and constant in K direction.

Definition at line 39 of file yoyinflationoptionletvolatilitystructure2.hpp.

Constructor & Destructor Documentation

◆ InterpolatedYoYOptionletVolatilityCurve() [1/2]

InterpolatedYoYOptionletVolatilityCurve ( Natural  settlementDays,
const Calendar cal,
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 Interpolator1D i = Interpolator1D() 
)

calculate the reference date based on the global evaluation date

The dates are those of the volatility ... there is no lag on the dates but they are relative to a start date earlier than the reference date as always for inflation.

Definition at line 119 of file yoyinflationoptionletvolatilitystructure2.hpp.

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◆ ~InterpolatedYoYOptionletVolatilityCurve()

◆ InterpolatedYoYOptionletVolatilityCurve() [2/2]

InterpolatedYoYOptionletVolatilityCurve ( Natural  settlementDays,
const Calendar cal,
BusinessDayConvention  bdc,
const DayCounter dc,
const Period lag,
Frequency  frequency,
bool  indexIsInterpolated,
Rate  minStrike,
Rate  maxStrike,
Volatility  baseYoYVolatility,
const Interpolator1D i = Interpolator1D() 
)
protected

Definition at line 157 of file yoyinflationoptionletvolatilitystructure2.hpp.

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Member Function Documentation

◆ minStrike()

Real minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements YoYOptionletVolatilitySurface.

Definition at line 70 of file yoyinflationoptionletvolatilitystructure2.hpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements YoYOptionletVolatilitySurface.

Definition at line 72 of file yoyinflationoptionletvolatilitystructure2.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 73 of file yoyinflationoptionletvolatilitystructure2.hpp.

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◆ times()

virtual const std::vector< Time > & times ( ) const
virtual

◆ dates()

virtual const std::vector< Date > & dates ( ) const
virtual

◆ data()

virtual const std::vector< Real > & data ( ) const
virtual

◆ nodes()

virtual std::vector< std::pair< Date, Real > > nodes ( ) const
virtual

◆ volatilityImpl()

Volatility volatilityImpl ( Time  length,
Rate  strike 
) const
overrideprotectedvirtual

implements the actual volatility calculation in derived classes

For the curve strike is ignored because the smile is (can only be) flat.

Implements YoYOptionletVolatilitySurface.

Definition at line 182 of file yoyinflationoptionletvolatilitystructure2.hpp.

Member Data Documentation

◆ dates_

std::vector<Date> dates_
mutableprotected

◆ nodes_

std::vector<std::pair<Date, Real> > nodes_
protected

◆ minStrike_

Rate minStrike_
protected

◆ maxStrike_

Rate maxStrike_
protected