Abstract base class, inheriting from InflationTermStructure. More...

#include <yoycapfloortermpricesurface.hpp>

Inheritance diagram for YoYCapFloorTermPriceSurface:

Collaboration diagram for YoYCapFloorTermPriceSurface:

Public Member Functions
	YoYCapFloorTermPriceSurface (Natural fixingDays, const Period &yyLag, const ext::shared_ptr< YoYInflationIndex > &yii, CPI::InterpolationType interpolation, 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)

	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 Period	observationLag () const

virtual Frequency	frequency () 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 Date	baseDate () const =0

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 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 ()=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...

Protected Member Functions
virtual bool	checkStrike (Rate K)

virtual bool	checkMaturity (const Date &d)

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
Natural	fixingDays_

BusinessDayConvention	bdc_

ext::shared_ptr< YoYInflationIndex >	yoyIndex_

Period	observationLag_

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 TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

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

Detailed Description

Abstract base class, inheriting from InflationTermStructure.

Since this can create a yoy term structure it does take a YoY index.

Definition at line 42 of file yoycapfloortermpricesurface.hpp.

Constructor & Destructor Documentation

◆ YoYCapFloorTermPriceSurface() [1/2]

YoYCapFloorTermPriceSurface	(	Natural	fixingDays,
		const Period &	yyLag,
		const ext::shared_ptr< YoYInflationIndex > &	yii,
		CPI::InterpolationType	interpolation,
		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
	)

Definition at line 25 of file yoycapfloortermpricesurface.cpp.

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◆ YoYCapFloorTermPriceSurface() [2/2]

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
	)

Deprecated:: Use the overload that passes an interpolation type instead. Deprecated in version 1.36.

Definition at line 103 of file yoycapfloortermpricesurface.cpp.

Member Function Documentation

◆ indexIsInterpolated()

bool indexIsInterpolated ( ) const

Definition at line 277 of file yoycapfloortermpricesurface.hpp.

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◆ observationLag()

Period observationLag ( ) const

virtual

Definition at line 281 of file yoycapfloortermpricesurface.hpp.

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◆ frequency()

Frequency frequency ( ) const

virtual

Definition at line 285 of file yoycapfloortermpricesurface.hpp.

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◆ atmYoYSwapTimeRates()

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

pure virtual

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

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

Implemented in InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.

◆ atmYoYSwapDateRates()

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

pure virtual

Implemented in InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.

◆ YoYTS()

virtual ext::shared_ptr< YoYInflationTermStructure > YoYTS ( ) const

pure virtual

derived from yoy swap rates

Implemented in InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.

◆ yoyIndex()

ext::shared_ptr< YoYInflationIndex > yoyIndex ( ) const

index yoy is based on

Definition at line 90 of file yoycapfloortermpricesurface.hpp.

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◆ businessDayConvention()

virtual BusinessDayConvention businessDayConvention ( ) const

virtual

inspectors

Note: you don't know if price() is a cap or a floor without checking the YoYSwapATM level.; atm cap/floor prices are generally inaccurate because they are from extrapolation and intersection.

Definition at line 100 of file yoycapfloortermpricesurface.hpp.