QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Abstract base class, inheriting from InflationTermStructure. More...
#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>
Public Member Functions | |
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 |
virtual Date | baseDate () const =0 |
minimum (base) date More... | |
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 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... | |
Protected Member Functions | |
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 | |
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_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
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.
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 | ||
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Definition at line 25 of file yoycapfloortermpricesurface.cpp.
bool indexIsInterpolated | ( | ) | const |
Definition at line 233 of file yoycapfloortermpricesurface.hpp.
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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 >.
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pure virtual |
derived from yoy swap rates
Implemented in InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.
ext::shared_ptr< YoYInflationIndex > yoyIndex | ( | ) | const |
index yoy is based on
Definition at line 70 of file yoycapfloortermpricesurface.hpp.
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inspectors
Definition at line 80 of file yoycapfloortermpricesurface.hpp.
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Reimplemented in InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.
Definition at line 81 of file yoycapfloortermpricesurface.hpp.
Implemented in InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.
Implemented in InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.
Implemented in InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.
Implemented in InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.
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pure virtual |
Implemented in InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.
Definition at line 108 of file yoycapfloortermpricesurface.cpp.
Definition at line 112 of file yoycapfloortermpricesurface.cpp.
Definition at line 116 of file yoycapfloortermpricesurface.cpp.
Definition at line 120 of file yoycapfloortermpricesurface.cpp.
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Definition at line 125 of file yoycapfloortermpricesurface.cpp.
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Definition at line 100 of file yoycapfloortermpricesurface.hpp.
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Definition at line 101 of file yoycapfloortermpricesurface.hpp.
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Definition at line 102 of file yoycapfloortermpricesurface.hpp.
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Definition at line 103 of file yoycapfloortermpricesurface.hpp.
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Definition at line 104 of file yoycapfloortermpricesurface.hpp.
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Definition at line 105 of file yoycapfloortermpricesurface.hpp.
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Definition at line 106 of file yoycapfloortermpricesurface.hpp.
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Definition at line 107 of file yoycapfloortermpricesurface.hpp.
Definition at line 103 of file yoycapfloortermpricesurface.cpp.
Definition at line 113 of file yoycapfloortermpricesurface.hpp.
Definition at line 116 of file yoycapfloortermpricesurface.hpp.
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Definition at line 124 of file yoycapfloortermpricesurface.hpp.
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Definition at line 125 of file yoycapfloortermpricesurface.hpp.
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Definition at line 126 of file yoycapfloortermpricesurface.hpp.
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Definition at line 127 of file yoycapfloortermpricesurface.hpp.
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Definition at line 129 of file yoycapfloortermpricesurface.hpp.
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Definition at line 130 of file yoycapfloortermpricesurface.hpp.
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Definition at line 131 of file yoycapfloortermpricesurface.hpp.
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Definition at line 132 of file yoycapfloortermpricesurface.hpp.
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Definition at line 133 of file yoycapfloortermpricesurface.hpp.
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Definition at line 134 of file yoycapfloortermpricesurface.hpp.
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Definition at line 135 of file yoycapfloortermpricesurface.hpp.
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Definition at line 137 of file yoycapfloortermpricesurface.hpp.
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Definition at line 138 of file yoycapfloortermpricesurface.hpp.
Definition at line 139 of file yoycapfloortermpricesurface.hpp.
Definition at line 140 of file yoycapfloortermpricesurface.hpp.