#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>

Inheritance diagram for InterpolatedCPICapFloorTermPriceSurface< Interpolator2D >:

Collaboration diagram for InterpolatedCPICapFloorTermPriceSurface< Interpolator2D >:

Public Member Functions
	InterpolatedCPICapFloorTermPriceSurface (Real nominal, Rate startRate, const Period &observationLag, const Calendar &cal, const BusinessDayConvention &bdc, const DayCounter &dc, const ext::shared_ptr< ZeroInflationIndex > &zii, CPI::InterpolationType interpolationType, const Handle< YieldTermStructure > &yts, const std::vector< Rate > &cStrikes, const std::vector< Rate > &fStrikes, const std::vector< Period > &cfMaturities, const Matrix &cPrice, const Matrix &fPrice, const Interpolator2D &interpolator2d=Interpolator2D())

Public Member Functions inherited from CPICapFloorTermPriceSurface
	CPICapFloorTermPriceSurface (Real nominal, Real baseRate, const Period &observationLag, const Calendar &cal, const BusinessDayConvention &bdc, const DayCounter &dc, const 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)

Period	observationLag () const override

Date	baseDate () const override
	minimum (base) date More...

virtual Real	nominal () const
	inspectors More...

virtual BusinessDayConvention	businessDayConvention () const

ext::shared_ptr< ZeroInflationIndex >	zeroInflationIndex () const

Rate	atmRate (Date maturity) 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 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

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 Frequency	frequency () const

virtual Rate	baseRate () const

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 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...

LazyObject interface
Matrix	cPriceB_

Matrix	fPriceB_

Interpolation2D	capPrice_

Interpolation2D	floorPrice_

Interpolator2D	interpolator2d_

void	performCalculations () const

Real	price (const Date &d, Rate k) const override
	remember that the strikes use the quoting convention More...

Real	capPrice (const Date &d, Rate k) const override
	remember that the strike uses the quoting convention More...

Real	floorPrice (const Date &d, Rate k) const override
	remember that the strike uses the quoting convention More...

virtual Real	price (const Period &d, Rate k) const
	required to allow for method hiding More...

virtual Real	price (const Date &d, Rate k) const=0
	required to allow for method hiding More...

virtual Real	capPrice (const Period &d, Rate k) const

virtual Real	capPrice (const Date &d, Rate k) const=0

virtual Real	floorPrice (const Period &d, Rate k) const

virtual Real	floorPrice (const Date &d, Rate k) const=0

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

Protected Member Functions inherited from CPICapFloorTermPriceSurface
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 inherited from CPICapFloorTermPriceSurface
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_

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_

Detailed Description

template<class Interpolator2D>
class QuantLib::InterpolatedCPICapFloorTermPriceSurface< Interpolator2D >

Definition at line 146 of file cpicapfloortermpricesurface.hpp.

Constructor & Destructor Documentation

◆ InterpolatedCPICapFloorTermPriceSurface()

InterpolatedCPICapFloorTermPriceSurface	(	Real	nominal,
		Rate	startRate,
		const Period &	observationLag,
		const Calendar &	cal,
		const BusinessDayConvention &	bdc,
		const DayCounter &	dc,
		const ext::shared_ptr< ZeroInflationIndex > &	zii,
		CPI::InterpolationType	interpolationType,
		const Handle< YieldTermStructure > &	yts,
		const std::vector< Rate > &	cStrikes,
		const std::vector< Rate > &	fStrikes,
		const std::vector< Period > &	cfMaturities,
		const Matrix &	cPrice,
		const Matrix &	fPrice,
		const Interpolator2D &	interpolator2d = `Interpolator2D()`
	)

Member Function Documentation

◆ performCalculations()

void performCalculations

set up the interpolations for capPrice_ and floorPrice_ since we know ATM, and we have single flows, we can use put/call parity to extend the surfaces across all strikes

Definition at line 229 of file cpicapfloortermpricesurface.hpp.

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