24#ifndef quantlib_cpi_volatility_structure_hpp
25#define quantlib_cpi_volatility_structure_hpp
62 bool extrapolate =
false)
const;
67 bool extrapolate =
false)
const;
84 bool extrapolate =
false)
const;
90 bool extrapolate =
false)
const;
112 "Base volatility, for baseDate(), not set.");
133 Rate strike)
const = 0;
zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
Real minStrike() const override=0
the minimum strike for which the term structure can return vols
virtual Volatility volatilityImpl(Time length, Rate strike) const =0
virtual Time timeFromBase(const Date &date, const Period &obsLag=Period(-1, Days)) const
base date will be in the past because of observation lag
virtual Volatility baseLevel() const
virtual Period observationLag() const
bool indexIsInterpolated_
virtual bool indexIsInterpolated() const
virtual Date baseDate() const
virtual Frequency frequency() const
virtual void checkRange(const Date &, Rate strike, bool extrapolate) const
virtual Volatility totalVariance(const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
Real maxStrike() const override=0
the maximum strike for which the term structure can return vols
Volatility volatility(const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
Returns the volatility for a given maturity date and strike rate.
template class providing a null value for a given type.
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
Volatility term structure.
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Frequency
Frequency of events.
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility
Volatility term structure.