Interpolated flat smile surface. More...

#include <ql/experimental/inflation/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 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...

Bootstrap interface
std::vector< Date >	dates_

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)

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 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< Time >	times_

std::vector< Real >	data_

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.

Here is the call graph for this function:

◆ ~InterpolatedYoYOptionletVolatilityCurve()

~InterpolatedYoYOptionletVolatilityCurve ( )

overridedefault

◆ 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()`
	)