Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity). More...

#include <cpicapfloortermpricesurface.hpp>

Inheritance diagram for CPICapFloorTermPriceSurface:

Collaboration diagram for CPICapFloorTermPriceSurface:

Public Member Functions
	CPICapFloorTermPriceSurface (Real nominal, Real baseRate, const Period &observationLag, const Calendar &cal, const BusinessDayConvention &bdc, const DayCounter &dc, ext::shared_ptr< ZeroInflationIndex > zii, CPI::InterpolationType interpolationType, Handle< YieldTermStructure > yts, const std::vector< Rate > &cStrikes, const std::vector< Rate > &fStrikes, const std::vector< Period > &cfMaturities, const Matrix &cPrice, const Matrix &fPrice)

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 ()=default

	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...

InflationTermStructure interface
ext::shared_ptr< ZeroInflationIndex >	zii_

CPI::InterpolationType	interpolationType_

Handle< YieldTermStructure >	nominalTS_

std::vector< Rate >	cStrikes_

std::vector< Rate >	fStrikes_

std::vector< Period >	cfMaturities_

std::vector< Real >	cfMaturityTimes_

Matrix	cPrice_

Matrix	fPrice_

std::vector< Rate >	cfStrikes_

Real	nominal_

BusinessDayConvention	bdc_

Period	observationLag_

Rate	baseRate_

virtual Period	observationLag () const

virtual Frequency	frequency () const

virtual Date	baseDate () const

virtual Rate	baseRate () const

virtual Real	nominal () const
	inspectors More...

virtual BusinessDayConvention	businessDayConvention () const

ext::shared_ptr< ZeroInflationIndex >	zeroInflationIndex () const

Rate	atmRate (Date maturity) const

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 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 std::vector< Rate >	strikes () const

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

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

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

virtual const Matrix &	capPrices () const

virtual const Matrix &	floorPrices () const

virtual Rate	minStrike () const

virtual Rate	maxStrike () const

virtual Date	minDate () const

Date	maxDate () const override
	the latest date for which the curve can return values More...

virtual Date	cpiOptionDateFromTenor (const Period &p) const

virtual bool	checkStrike (Rate K)

virtual bool	checkMaturity (const Date &d)

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

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

Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity).

The inflation index MUST contain a ZeroInflationTermStructure as this is used to create ATM. Unlike YoY price surfaces we assume that 1) an ATM ZeroInflationTermStructure is available and 2) that it is safe to use it. This is supported by the fact that no stripping is required for CPI cap/floors as they only give one flow.

cpi cap/floors have a single (one) flow (unlike nominal caps) because they observe cumulative inflation up to their maturity. Options are on CPI(T)/CPI(0) but strikes are quoted for yearly average inflation, so require transformation via (1+quote)^T to obtain actual strikes. These are consistent with ZCIIS quoting conventions.

The observationLag is that for the referenced instrument prices. Strikes are as-quoted not as-used.

Definition at line 54 of file cpicapfloortermpricesurface.hpp.

Constructor & Destructor Documentation

◆ CPICapFloorTermPriceSurface()

CPICapFloorTermPriceSurface	(	Real	nominal,
		Real	baseRate,
		const Period &	observationLag,
		const Calendar &	cal,
		const BusinessDayConvention &	bdc,
		const DayCounter &	dc,
		ext::shared_ptr< ZeroInflationIndex >	zii,
		CPI::InterpolationType	interpolationType,
		Handle< YieldTermStructure >	yts,
		const std::vector< Rate > &	cStrikes,
		const std::vector< Rate > &	fStrikes,
		const std::vector< Period > &	cfMaturities,
		const Matrix &	cPrice,
		const Matrix &	fPrice
	)

Definition at line 27 of file cpicapfloortermpricesurface.cpp.

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Member Function Documentation

◆ observationLag()

Period observationLag ( ) const

virtual

Definition at line 332 of file cpicapfloortermpricesurface.hpp.

◆ frequency()

Frequency frequency ( ) const

virtual

Definition at line 336 of file cpicapfloortermpricesurface.hpp.

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◆ baseDate()

Date baseDate ( ) const

virtual

Definition at line 340 of file cpicapfloortermpricesurface.hpp.

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◆ baseRate()

Rate baseRate ( ) const

virtual

Definition at line 344 of file cpicapfloortermpricesurface.hpp.

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◆ nominal()

Real nominal ( ) const

virtual

inspectors

Note: you don't know if price() is a cap or a floor without checking the ZeroInflation ATM level.

Definition at line 348 of file cpicapfloortermpricesurface.hpp.

◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

virtual

Definition at line 353 of file cpicapfloortermpricesurface.hpp.

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◆ zeroInflationIndex()

ext::shared_ptr< ZeroInflationIndex > zeroInflationIndex ( ) const

Definition at line 87 of file cpicapfloortermpricesurface.hpp.

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◆ atmRate()

Rate atmRate ( Date maturity ) const

Definition at line 112 of file cpicapfloortermpricesurface.cpp.

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◆ price() [1/2]

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

virtual

Warning:: you MUST remind the compiler in any descendants with the using:: mechanism because you overload the names remember that the strikes use the quoting convention

Reimplemented in InterpolatedCPICapFloorTermPriceSurface< Interpolator2D >.

Definition at line 130 of file cpicapfloortermpricesurface.cpp.

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