QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures More...
#include <cpivolatilitystructure.hpp>
Public Member Functions | |
CPIVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
Volatility | |
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 |
Inspectors | |
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 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... | |
Limits | |
Volatility | baseLevel_ |
Period | observationLag_ |
Frequency | frequency_ |
bool | indexIsInterpolated_ |
Real | minStrike () const override=0 |
the minimum strike for which the term structure can return vols More... | |
Real | maxStrike () const override=0 |
the maximum strike for which the term structure can return vols More... | |
virtual void | checkRange (const Date &, Rate strike, bool extrapolate) const |
virtual void | checkRange (Time, Rate strike, bool extrapolate) const |
virtual Volatility | volatilityImpl (Time length, Rate strike) const =0 |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
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 TermStructure | |
bool | moving_ = false |
bool | updated_ = true |
Calendar | calendar_ |
zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
Abstract interface. CPI volatility is always with respect to some base date. Also deal with lagged observations of an index with a (usually different) availability lag.
Definition at line 36 of file cpivolatilitystructure.hpp.
CPIVolatilitySurface | ( | Natural | settlementDays, |
const Calendar & | cal, | ||
BusinessDayConvention | bdc, | ||
const DayCounter & | dc, | ||
const Period & | observationLag, | ||
Frequency | frequency, | ||
bool | indexIsInterpolated | ||
) |
calculates the reference date based on the global evaluation date.
Definition at line 25 of file cpivolatilitystructure.cpp.
Volatility volatility | ( | const Date & | maturityDate, |
Rate | strike, | ||
const Period & | obsLag = Period(-1,Days) , |
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bool | extrapolate = false |
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) | const |
Returns the volatility for a given maturity date and strike rate.
by default, inflation is observed with the lag of the term structure.
Because inflation is highly linked to dates (for interpolation, periods, etc) time-based overload of the methods are not provided.
Definition at line 80 of file cpivolatilitystructure.cpp.
Volatility volatility | ( | const Period & | optionTenor, |
Rate | strike, | ||
const Period & | obsLag = Period(-1,Days) , |
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bool | extrapolate = false |
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) | const |
returns the volatility for a given option tenor and strike rate
Definition at line 104 of file cpivolatilitystructure.cpp.
Volatility volatility | ( | Time | time, |
Rate | strike | ||
) | const |
Returns the volatility for a given time and strike rate. No adjustments due to lags and interpolation are applied to the input time.
Definition at line 112 of file cpivolatilitystructure.cpp.
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virtual |
Returns the total integrated variance for a given exercise date and strike rate.
Total integrated variance is useful because it scales out t for the optionlet pricing formulae. Note that it is called "total" because the surface does not know whether it represents Black, Bachelier or Displaced Diffusion variance. These are virtual so alternate connections between const vol and total var are possible.
Definition at line 139 of file cpivolatilitystructure.cpp.
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returns the total integrated variance for a given option tenor and strike rate.
Definition at line 149 of file cpivolatilitystructure.cpp.
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virtual |
The term structure observes with a lag that is usually different from the availability lag of the index. An inflation rate is given, by default, for the maturity requested assuming this lag.
Definition at line 100 of file cpivolatilitystructure.hpp.
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Definition at line 101 of file cpivolatilitystructure.hpp.
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Definition at line 102 of file cpivolatilitystructure.hpp.
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Definition at line 38 of file cpivolatilitystructure.cpp.
base date will be in the past because of observation lag
needed for total variance calculations
Definition at line 117 of file cpivolatilitystructure.cpp.
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virtual |
Definition at line 110 of file cpivolatilitystructure.hpp.
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overridepure virtual |
the minimum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Implemented in ConstantCPIVolatility.
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overridepure virtual |
the maximum strike for which the term structure can return vols
Implements VolatilityTermStructure.
Implemented in ConstantCPIVolatility.
Definition at line 52 of file cpivolatilitystructure.cpp.
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protectedpure virtual |
Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.
Implemented in ConstantCPIVolatility.
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mutableprotected |
Definition at line 135 of file cpivolatilitystructure.hpp.
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protected |
Definition at line 137 of file cpivolatilitystructure.hpp.
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Definition at line 138 of file cpivolatilitystructure.hpp.
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protected |
Definition at line 139 of file cpivolatilitystructure.hpp.