#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>

Inheritance diagram for InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >:

Collaboration diagram for InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >:

Classes
class	ObjectiveFunction

Public Member Functions
	InterpolatedYoYCapFloorTermPriceSurface (Natural fixingDays, const Period &yyLag, const ext::shared_ptr< YoYInflationIndex > &yii, Rate baseRate, const Handle< YieldTermStructure > &nominal, const DayCounter &dc, const Calendar &cal, const BusinessDayConvention &bdc, const std::vector< Rate > &cStrikes, const std::vector< Rate > &fStrikes, const std::vector< Period > &cfMaturities, const Matrix &cPrice, const Matrix &fPrice, const Interpolator2D &interpolator2d=Interpolator2D(), const Interpolator1D &interpolator1d=Interpolator1D())

Date	maxDate () const override
	inflation term structure interface More...

Date	baseDate () const override
	minimum (base) date More...

Natural	fixingDays () const override

YoYCapFloorTermPriceSurface interface
std::pair< std::vector< Time >, std::vector< Rate > >	atmYoYSwapTimeRates () const override
	atm yoy swaps from put-call parity on cap/floor data More...

std::pair< std::vector< Date >, std::vector< Rate > >	atmYoYSwapDateRates () const override

ext::shared_ptr< YoYInflationTermStructure >	YoYTS () const override
	derived from yoy swap rates More...

Rate	price (const Date &d, Rate k) const override

Real	floorPrice (const Date &d, Rate k) const override

Real	capPrice (const Date &d, Rate k) const override

Rate	atmYoYSwapRate (const Date &d, bool extrapolate=true) const override

Rate	atmYoYRate (const Date &d, const Period &obsLag=Period(-1, Days), bool extrapolate=true) const override

Public Member Functions inherited from YoYCapFloorTermPriceSurface
	YoYCapFloorTermPriceSurface (Natural fixingDays, const Period &yyLag, const ext::shared_ptr< YoYInflationIndex > &yii, Rate baseRate, Handle< YieldTermStructure > nominal, const DayCounter &dc, const Calendar &cal, const BusinessDayConvention &bdc, const std::vector< Rate > &cStrikes, const std::vector< Rate > &fStrikes, const std::vector< Period > &cfMaturities, const Matrix &cPrice, const Matrix &fPrice)

bool	indexIsInterpolated () const

virtual std::pair< std::vector< Time >, std::vector< Rate > >	atmYoYSwapTimeRates () const =0
	atm yoy swaps from put-call parity on cap/floor data More...

virtual std::pair< std::vector< Date >, std::vector< Rate > >	atmYoYSwapDateRates () const =0

virtual ext::shared_ptr< YoYInflationTermStructure >	YoYTS () const =0
	derived from yoy swap rates More...

ext::shared_ptr< YoYInflationIndex >	yoyIndex () const
	index yoy is based on More...

virtual BusinessDayConvention	businessDayConvention () const
	inspectors More...

virtual Natural	fixingDays () const

virtual Real	price (const Date &d, Rate k) const =0

virtual Real	capPrice (const Date &d, Rate k) const =0

virtual Real	floorPrice (const Date &d, Rate k) const =0

virtual Rate	atmYoYSwapRate (const Date &d, bool extrapolate=true) const =0

virtual Rate	atmYoYRate (const Date &d, const Period &obsLag=Period(-1, Days), bool extrapolate=true) const =0

virtual Real	price (const Period &d, Rate k) const

virtual Real	capPrice (const Period &d, Rate k) const

virtual Real	floorPrice (const Period &d, Rate k) const

virtual Rate	atmYoYSwapRate (const Period &d, bool extrapolate=true) const

virtual Rate	atmYoYRate (const Period &d, const Period &obsLag=Period(-1, Days), bool extrapolate=true) const

virtual std::vector< Rate >	strikes () const

virtual std::vector< Rate >	capStrikes () const

virtual std::vector< Rate >	floorStrikes () const

virtual std::vector< Period >	maturities () const

virtual Rate	minStrike () const

virtual Rate	maxStrike () const

virtual Date	minMaturity () const

virtual Date	maxMaturity () const

virtual Date	yoyOptionDateFromTenor (const Period &p) const

Public Member Functions inherited from InflationTermStructure
	InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={})

	InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={})

	InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={})

virtual Period	observationLag () const

virtual Frequency	frequency () const

virtual Rate	baseRate () const

void	setSeasonality (const ext::shared_ptr< Seasonality > &seasonality={})
	Functions to set and get seasonality. More...

ext::shared_ptr< Seasonality >	seasonality () const

bool	hasSeasonality () const

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...

LazyObject interface
std::vector< Rate >	cStrikesB_

std::vector< Rate >	fStrikesB_

Matrix	cPriceB_

Matrix	fPriceB_

Interpolation2D	capPrice_

Interpolation2D	floorPrice_

Interpolation2D	floorPrice2_

Interpolator2D	interpolator2d_

Interpolation	atmYoYSwapRateCurve_

Interpolator1D	interpolator1d_

void	update () override

void	performCalculations () const

void	intersect () const
	intersection of cap and floor price surfaces at given strikes More...

void	calculateYoYTermStructure () const
	mess of making it, i.e. create instruments from quotes and bootstrap More...

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from YoYCapFloorTermPriceSurface
virtual bool	checkStrike (Rate K)

virtual bool	checkMaturity (const Date &d)

Protected Member Functions inherited from InflationTermStructure
virtual void	setBaseRate (const Rate &r)

void	checkRange (const Date &, bool extrapolate) const

void	checkRange (Time t, bool extrapolate) const

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 Attributes inherited from YoYCapFloorTermPriceSurface
Natural	fixingDays_

BusinessDayConvention	bdc_

ext::shared_ptr< YoYInflationIndex >	yoyIndex_

Handle< YieldTermStructure >	nominalTS_

std::vector< Rate >	cStrikes_

std::vector< Rate >	fStrikes_

std::vector< Period >	cfMaturities_

std::vector< Real >	cfMaturityTimes_

Matrix	cPrice_

Matrix	fPrice_

bool	indexIsInterpolated_

std::vector< Rate >	cfStrikes_

ext::shared_ptr< YoYInflationTermStructure >	yoy_

std::pair< std::vector< Time >, std::vector< Rate > >	atmYoYSwapTimeRates_

std::pair< std::vector< Date >, std::vector< Rate > >	atmYoYSwapDateRates_

Protected Attributes inherited from InflationTermStructure
ext::shared_ptr< Seasonality >	seasonality_

Period	observationLag_

Frequency	frequency_

Rate	baseRate_

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

template<class Interpolator2D, class Interpolator1D>
class QuantLib::InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >

Definition at line 145 of file yoycapfloortermpricesurface.hpp.

Constructor & Destructor Documentation

◆ InterpolatedYoYCapFloorTermPriceSurface()

InterpolatedYoYCapFloorTermPriceSurface	(	Natural	fixingDays,
		const Period &	yyLag,
		const ext::shared_ptr< YoYInflationIndex > &	yii,
		Rate	baseRate,
		const Handle< YieldTermStructure > &	nominal,
		const DayCounter &	dc,
		const Calendar &	cal,
		const BusinessDayConvention &	bdc,
		const std::vector< Rate > &	cStrikes,
		const std::vector< Rate > &	fStrikes,
		const std::vector< Period > &	cfMaturities,
		const Matrix &	cPrice,
		const Matrix &	fPrice,
		const Interpolator2D &	interpolator2d = `Interpolator2D()`,
		const Interpolator1D &	interpolator1d = `Interpolator1D()`
	)

Member Function Documentation

◆ maxDate()

Date maxDate ( ) const

overridevirtual

inflation term structure interface

Implements TermStructure.

Definition at line 167 of file yoycapfloortermpricesurface.hpp.

◆ baseDate()

Date baseDate ( ) const

overridevirtual

minimum (base) date

Important in inflation since it starts before nominal reference date. Changes depending whether index is interpolated or not. When interpolated the base date is just observation lag before nominal. When not interpolated it is the beginning of the relevant period (hence it is easy to create interpolated fixings from a not-interpolated curve because interpolation, usually, of fixings is forward looking).

Implements InflationTermStructure.

Definition at line 168 of file yoycapfloortermpricesurface.hpp.

◆ fixingDays()

Natural fixingDays ( ) const

overridevirtual

Reimplemented from YoYCapFloorTermPriceSurface.

Definition at line 170 of file yoycapfloortermpricesurface.hpp.

◆ atmYoYSwapTimeRates()

std::pair< std::vector< Time >, std::vector< Rate > > atmYoYSwapTimeRates ( ) const

overridevirtual

atm yoy swaps from put-call parity on cap/floor data

uses interpolation (on surface price data), yearly maturities.

Implements YoYCapFloorTermPriceSurface.

Definition at line 174 of file yoycapfloortermpricesurface.hpp.

◆ atmYoYSwapDateRates()

std::pair< std::vector< Date >, std::vector< Rate > > atmYoYSwapDateRates ( ) const

overridevirtual

Implements YoYCapFloorTermPriceSurface.

Definition at line 177 of file yoycapfloortermpricesurface.hpp.

◆ YoYTS()

ext::shared_ptr< YoYInflationTermStructure > YoYTS ( ) const

overridevirtual

derived from yoy swap rates

Implements YoYCapFloorTermPriceSurface.

Definition at line 180 of file yoycapfloortermpricesurface.hpp.

◆ price()

Rate price	(	const Date &	d,
		Rate	k
	)		const

overridevirtual

Implements YoYCapFloorTermPriceSurface.

Definition at line 300 of file yoycapfloortermpricesurface.hpp.

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◆ floorPrice()

Rate floorPrice	(	const Date &	d,
		Rate	k
	)		const

overridevirtual

Implements YoYCapFloorTermPriceSurface.

Definition at line 316 of file yoycapfloortermpricesurface.hpp.

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◆ capPrice()

Rate capPrice	(	const Date &	d,
		Rate	k
	)		const

overridevirtual

Implements YoYCapFloorTermPriceSurface.

Definition at line 308 of file yoycapfloortermpricesurface.hpp.

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◆ atmYoYSwapRate()

Rate atmYoYSwapRate	(	const Date &	d,
		bool	extrapolate = `true`
	)		const

overridevirtual

Implements YoYCapFloorTermPriceSurface.

Definition at line 184 of file yoycapfloortermpricesurface.hpp.

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◆ atmYoYRate()

Rate atmYoYRate	(	const Date &	d,
		const Period &	obsLag = `Period(-1, Days)`,
		bool	extrapolate = `true`
	)		const

overridevirtual

Implements YoYCapFloorTermPriceSurface.

Definition at line 187 of file yoycapfloortermpricesurface.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 270 of file yoycapfloortermpricesurface.hpp.