Constant surface, no K or T dependence. More...
#include <ql/termstructures/volatility/inflation/constantcpivolatility.hpp>
Inheritance diagram for ConstantCPIVolatility:
Collaboration diagram for ConstantCPIVolatility:
Public Member Functions | |
Constructors | |
| ConstantCPIVolatility (const Handle< Quote > &vol, Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
| ConstantCPIVolatility (Volatility vol, Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
| Public Member Functions inherited from CPIVolatilitySurface | |
| CPIVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
| 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. More... | |
| 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 Volatility | totalVariance (const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
| virtual Volatility | totalVariance (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
| 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... | |
| virtual Volatility | baseLevel () const |
| 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 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 | |
| Handle< Quote > | volatility_ |
| Date | maxDate () const override |
| the latest date for which the curve can return values More... | |
| Real | minStrike () const override |
| the minimum strike for which the term structure can return vols More... | |
| Real | maxStrike () const override |
| the maximum strike for which the term structure can return vols More... | |
| Volatility | volatilityImpl (Time length, Rate strike) const override |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from CPIVolatilitySurface | |
| virtual void | checkRange (const Date &, Rate strike, bool extrapolate) const |
| virtual void | checkRange (Time, Rate strike, bool extrapolate) const |
| 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 CPIVolatilitySurface | |
| Volatility | baseLevel_ |
| Period | observationLag_ |
| Frequency | frequency_ |
| bool | indexIsInterpolated_ |
| Protected Attributes inherited from TermStructure | |
| bool | moving_ = false |
| bool | updated_ = true |
| Calendar | calendar_ |
Detailed Description
Constant surface, no K or T dependence.
Definition at line 34 of file constantcpivolatility.hpp.
Constructor & Destructor Documentation
◆ ConstantCPIVolatility() [1/2]
| ConstantCPIVolatility | ( | const Handle< Quote > & | vol, |
| Natural | settlementDays, | ||
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc, | ||
| const DayCounter & | dc, | ||
| const Period & | observationLag, | ||
| Frequency | frequency, | ||
| bool | indexIsInterpolated | ||
| ) |
Definition at line 25 of file constantcpivolatility.cpp.
◆ ConstantCPIVolatility() [2/2]
| ConstantCPIVolatility | ( | Volatility | vol, |
| Natural | settlementDays, | ||
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc, | ||
| const DayCounter & | dc, | ||
| const Period & | observationLag, | ||
| Frequency | frequency, | ||
| bool | indexIsInterpolated | ||
| ) |
Definition at line 37 of file constantcpivolatility.cpp.
Member Function Documentation
◆ maxDate()
|
overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Definition at line 58 of file constantcpivolatility.hpp.
Here is the call graph for this function:
◆ minStrike()
|
overridevirtual |
the minimum strike for which the term structure can return vols
Implements CPIVolatilitySurface.
Definition at line 60 of file constantcpivolatility.hpp.
◆ maxStrike()
|
overridevirtual |
the maximum strike for which the term structure can return vols
Implements CPIVolatilitySurface.
Definition at line 62 of file constantcpivolatility.hpp.
◆ volatilityImpl()
|
overrideprivatevirtual |
Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.
Implements CPIVolatilitySurface.
Definition at line 50 of file constantcpivolatility.cpp.
Member Data Documentation
◆ volatility_
Definition at line 67 of file constantcpivolatility.hpp.