#include <yoyinflationoptionletvolatilitystructure.hpp>

Inheritance diagram for YoYOptionletVolatilitySurface:

Collaboration diagram for YoYOptionletVolatilitySurface:

Public Member Functions
Constructor
calculate the reference date based on the global evaluation date
	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 (only)
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...

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 Date	maxDate () const =0
	the latest date for which the curve can return values 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...

Limits
Volatility	baseLevel_

Period	observationLag_

Frequency	frequency_

bool	indexIsInterpolated_

VolatilityType	volType_

Real	displacement_

Real	minStrike () const override=0
	the minimum strike for which the term structure can return vols More...

Real	maxStrike () const override=0
	the maximum strike for which the term structure can return vols More...

virtual Volatility	baseLevel () const

virtual void	checkRange (const Date &, Rate strike, bool extrapolate) const

virtual void	checkRange (Time, Rate strike, bool extrapolate) const

virtual Volatility	volatilityImpl (Time length, Rate strike) const =0

virtual void	setBaseLevel (Volatility v)

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

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 Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

Abstract interface ... no data, only results.

Basically used to change the BlackVariance() methods to totalVariance. Also deal with lagged observations of an index with a (usually different) availability lag.

Definition at line 41 of file yoyinflationoptionletvolatilitystructure.hpp.

Constructor & Destructor Documentation

◆ YoYOptionletVolatilitySurface()

YoYOptionletVolatilitySurface	(	Natural	settlementDays,
		const Calendar &	cal,
		BusinessDayConvention	bdc,
		const DayCounter &	dc,
		const Period &	observationLag,
		Frequency	frequency,
		bool	indexIsInterpolated,
		VolatilityType	volType = `ShiftedLognormal`,
		Real	displacement = `0.0`
	)

Definition at line 31 of file yoyinflationoptionletvolatilitystructure.cpp.

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◆ ~YoYOptionletVolatilitySurface()

~YoYOptionletVolatilitySurface ( )

overridedefault

Member Function Documentation

◆ volatility() [1/3]

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 that observes inflation, by default, with the observation lag of the term structure. Because inflation is highly linked to dates (for interpolation, periods, etc) we do NOT provide a time version.

Definition at line 96 of file yoyinflationoptionletvolatilitystructure.cpp.

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◆ volatility() [2/3]

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

Definition at line 120 of file yoyinflationoptionletvolatilitystructure.cpp.

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◆ volatility() [3/3]

Volatility volatility	(	Time	time,
		Rate	strike
	)		const

Returns the volatility for a given time and strike rate. No adjustments due to lags and interpolation are applied to the input time.

Definition at line 128 of file yoyinflationoptionletvolatilitystructure.cpp.

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◆ volatilityType()

virtual VolatilityType volatilityType ( ) const

virtual

Returns the volatility type.

Definition at line 78 of file yoyinflationoptionletvolatilitystructure.hpp.

◆ displacement()

virtual Real displacement ( ) const

virtual

Returns the displacement for lognormal volatilities.

Definition at line 80 of file yoyinflationoptionletvolatilitystructure.hpp.

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◆ totalVariance() [1/2]

Volatility totalVariance	(	const Date &	exerciseDate,
		Rate	strike,
		const Period &	obsLag = `Period(-1,Days)`,
		bool	extrapolate = `false`
	)		const

virtual

Returns the total integrated variance for a given exercise date and strike rate.

Total integrated variance is useful because it scales out t for the optionlet pricing formulae. Note that it is called "total" because the surface does not know whether it represents Black, Bachelier or Displaced Diffusion variance. These are virtual so alternate connections between const vol and total var are possible.

Because inflation is highly linked to dates (for interpolation, periods, etc) we do NOT provide a time version

Definition at line 158 of file yoyinflationoptionletvolatilitystructure.cpp.

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◆ totalVariance() [2/2]

Volatility totalVariance	(	const Period &	optionTenor,
		Rate	strike,
		const Period &	obsLag = `Period(-1,Days)`,
		bool	extrapolate = `false`
	)		const

virtual

returns the total integrated variance for a given option tenor and strike rate

Definition at line 170 of file yoyinflationoptionletvolatilitystructure.cpp.

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◆ observationLag()

virtual Period observationLag ( ) const

virtual

The TS observes with a lag that is usually different from the availability lag of the index. An inflation rate is given, by default, for the maturity requested assuming this lag.

Definition at line 106 of file yoyinflationoptionletvolatilitystructure.hpp.

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