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KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > Class Template Reference

K-interpolated YoY optionlet volatility. More...

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

+ Inheritance diagram for KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >:
+ Collaboration diagram for KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >:

Constructor

calculate the reference date based on the global evaluation date

ext::shared_ptr< YoYCapFloorTermPriceSurfacecapFloorPrices_
 
ext::shared_ptr< YoYInflationCapFloorEngineyoyInflationCouponPricer_
 
ext::shared_ptr< YoYOptionletStripperyoyOptionletStripper_
 
Interpolator1D factory1D_
 
Real slope_
 
bool lastDateisSet_ = false
 
Date lastDate_
 
Interpolation tempKinterpolation_
 
std::pair< std::vector< Rate >, std::vector< Volatility > > slice_
 
 KInterpolatedYoYOptionletVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, const ext::shared_ptr< YoYCapFloorTermPriceSurface > &capFloorPrices, ext::shared_ptr< YoYInflationCapFloorEngine > pricer, ext::shared_ptr< YoYOptionletStripper > yoyOptionletStripper, Real slope, const Interpolator1D &interpolator=Interpolator1D(), VolatilityType volType=ShiftedLognormal, Real displacement=0.0)
 
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...
 
Date maxDate () const override
 the latest date for which the curve can return values More...
 
std::pair< std::vector< Rate >, std::vector< Volatility > > Dslice (const Date &d) const
 
virtual Volatility volatilityImpl (const Date &d, Rate strike) const
 
Volatility volatilityImpl (Time length, Rate strike) const override
 
virtual void performCalculations () const
 
void updateSlice (const Date &d) const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Public Member Functions inherited from YoYOptionletVolatilitySurface
 YoYOptionletVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, VolatilityType volType=ShiftedLognormal, Real displacement=0.0)
 
 ~YoYOptionletVolatilitySurface () override=default
 
Volatility volatility (const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
 
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 VolatilityType volatilityType () const
 Returns the volatility type. More...
 
virtual Real displacement () const
 Returns the displacement for lognormal volatilities. More...
 
virtual Volatility totalVariance (const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
 Returns the total integrated variance for a given exercise date and strike rate. More...
 
virtual Volatility totalVariance (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
 returns the total integrated variance for a given option tenor and strike rate More...
 
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 DatereferenceDate () 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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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 inherited from YoYOptionletVolatilitySurface
virtual void checkRange (const Date &, Rate strike, bool extrapolate) const
 
virtual void checkRange (Time, Rate strike, bool extrapolate) const
 
virtual void setBaseLevel (Volatility v)
 
- 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 YoYOptionletVolatilitySurface
Volatility baseLevel_
 
Period observationLag_
 
Frequency frequency_
 
bool indexIsInterpolated_
 
VolatilityType volType_
 
Real displacement_
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 

Detailed Description

template<class Interpolator1D>
class QuantLib::KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >

K-interpolated YoY optionlet volatility.

The stripper provides curves in the T direction along each K. We don't know whether this is interpolating or fitting in the T direction. Our K direction interpolations are not model fitting.

An alternative design would be a FittedYoYOptionletVolatilitySurface taking a model, e.g. SABR in the interest rate world. This could use the same stripping in the T direction along each K.

Bug:
Tests currently fail.

Definition at line 46 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

Constructor & Destructor Documentation

◆ KInterpolatedYoYOptionletVolatilitySurface()

KInterpolatedYoYOptionletVolatilitySurface ( Natural  settlementDays,
const Calendar cal,
BusinessDayConvention  bdc,
const DayCounter dc,
const Period lag,
const ext::shared_ptr< YoYCapFloorTermPriceSurface > &  capFloorPrices,
ext::shared_ptr< YoYInflationCapFloorEngine pricer,
ext::shared_ptr< YoYOptionletStripper yoyOptionletStripper,
Real  slope,
const Interpolator1D interpolator = Interpolator1D(),
VolatilityType  volType = ShiftedLognormal,
Real  displacement = 0.0 
)

Definition at line 95 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

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Member Function Documentation

◆ minStrike()

Real minStrike ( ) const
overridevirtual

the minimum strike for which the term structure can return vols

Implements YoYOptionletVolatilitySurface.

Definition at line 134 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

◆ maxStrike()

Real maxStrike ( ) const
overridevirtual

the maximum strike for which the term structure can return vols

Implements YoYOptionletVolatilitySurface.

Definition at line 141 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Definition at line 126 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

◆ Dslice()

std::pair< std::vector< Rate >, std::vector< Volatility > > Dslice ( const Date d) const

◆ volatilityImpl() [1/2]

Volatility volatilityImpl ( const Date d,
Rate  strike 
) const
protectedvirtual

◆ volatilityImpl() [2/2]

Volatility volatilityImpl ( Time  length,
Rate  strike 
) const
overrideprotectedvirtual

Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.

Implements YoYOptionletVolatilitySurface.

Definition at line 179 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

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◆ performCalculations()

void performCalculations
protectedvirtual

Definition at line 148 of file kinterpolatedyoyoptionletvolatilitysurface.hpp.

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◆ updateSlice()

void updateSlice ( const Date d) const
private

Member Data Documentation

◆ capFloorPrices_

ext::shared_ptr<YoYCapFloorTermPriceSurface> capFloorPrices_
protected

◆ yoyInflationCouponPricer_

ext::shared_ptr<YoYInflationCapFloorEngine> yoyInflationCouponPricer_
protected

◆ yoyOptionletStripper_

ext::shared_ptr<YoYOptionletStripper> yoyOptionletStripper_
protected

◆ factory1D_

Interpolator1D factory1D_
mutableprotected

◆ slope_

Real slope_
mutableprotected

◆ lastDateisSet_

bool lastDateisSet_ = false
mutableprotected

◆ lastDate_

Date lastDate_
mutableprotected

◆ tempKinterpolation_

Interpolation tempKinterpolation_
mutableprotected

◆ slice_

std::pair<std::vector<Rate>, std::vector<Volatility> > slice_
mutableprotected