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calculate the reference date based on the global evaluation date
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ext::shared_ptr< YoYCapFloorTermPriceSurface > | capFloorPrices_ |
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ext::shared_ptr< YoYInflationCapFloorEngine > | yoyInflationCouponPricer_ |
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ext::shared_ptr< YoYOptionletStripper > | yoyOptionletStripper_ |
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Interpolator1D | factory1D_ |
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Real | slope_ |
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bool | lastDateisSet_ = false |
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Date | lastDate_ |
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Interpolation | tempKinterpolation_ |
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std::pair< std::vector< Rate >, std::vector< Volatility > > | slice_ |
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| 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) |
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Real | minStrike () const override |
| the minimum strike for which the term structure can return vols More...
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Real | maxStrike () const override |
| the maximum strike for which the term structure can return vols More...
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Date | maxDate () const override |
| the latest date for which the curve can return values More...
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std::pair< std::vector< Rate >, std::vector< Volatility > > | Dslice (const Date &d) const |
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virtual Volatility | volatilityImpl (const Date &d, Rate strike) const |
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Volatility | volatilityImpl (Time length, Rate strike) const override |
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virtual void | performCalculations () const |
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void | updateSlice (const Date &d) const |
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typedef set_type::iterator | iterator |
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| YoYOptionletVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, VolatilityType volType=ShiftedLognormal, Real displacement=0.0) |
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| ~YoYOptionletVolatilitySurface () override=default |
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Volatility | volatility (const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
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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...
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Volatility | volatility (Time time, Rate strike) const |
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virtual VolatilityType | volatilityType () const |
| Returns the volatility type. More...
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virtual Real | displacement () const |
| Returns the displacement for lognormal volatilities. More...
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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...
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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...
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virtual Period | observationLag () const |
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virtual Frequency | frequency () const |
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virtual bool | indexIsInterpolated () const |
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virtual Date | baseDate () const |
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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...
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virtual Volatility | baseLevel () const |
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| VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) |
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| VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) |
| initialize with a fixed reference date More...
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| VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) |
| calculate the reference date based on the global evaluation date More...
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virtual BusinessDayConvention | businessDayConvention () const |
| the business day convention used in tenor to date conversion More...
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Date | optionDateFromTenor (const Period &) const |
| period/date conversion More...
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| TermStructure (DayCounter dc=DayCounter()) |
| default constructor More...
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| TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter()) |
| initialize with a fixed reference date More...
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| TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter()) |
| calculate the reference date based on the global evaluation date More...
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| ~TermStructure () override=default |
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virtual DayCounter | dayCounter () const |
| the day counter used for date/time conversion More...
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Time | timeFromReference (const Date &date) const |
| date/time conversion More...
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virtual Time | maxTime () const |
| the latest time for which the curve can return values More...
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virtual const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 More...
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virtual Calendar | calendar () const |
| the calendar used for reference and/or option date calculation More...
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virtual Natural | settlementDays () const |
| the settlementDays used for reference date calculation More...
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void | update () override |
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| Observer ()=default |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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virtual | ~Observer () |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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virtual void | update ()=0 |
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virtual void | deepUpdate () |
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| Observable () |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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| Observable (Observable &&)=delete |
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Observable & | operator= (Observable &&)=delete |
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virtual | ~Observable ()=default |
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void | notifyObservers () |
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virtual void | checkRange (const Date &, Rate strike, bool extrapolate) const |
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virtual void | checkRange (Time, Rate strike, bool extrapolate) const |
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virtual void | setBaseLevel (Volatility v) |
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void | checkStrike (Rate strike, bool extrapolate) const |
| strike-range check More...
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void | checkRange (const Date &d, bool extrapolate) const |
| date-range check More...
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void | checkRange (Time t, bool extrapolate) const |
| time-range check More...
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Volatility | baseLevel_ |
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Period | observationLag_ |
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Frequency | frequency_ |
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bool | indexIsInterpolated_ |
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VolatilityType | volType_ |
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Real | displacement_ |
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bool | moving_ = false |
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bool | updated_ = true |
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Calendar | calendar_ |
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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.