YoYOptionletVolatilitySurface Class Reference
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>

Public Member Functions | |
virtual Volatility | baseLevel () const |
Constructor | |
calculate the reference date based on the global evaluation date | |
YoYOptionletVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
virtual | ~YoYOptionletVolatilitySurface () |
Volatility (only) | |
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 | |
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. | |
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 | |
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 | |
Limits | |
virtual Real | minStrike () const =0 |
the minimum strike for which the term structure can return vols | |
virtual Real | maxStrike () const =0 |
the maximum strike for which the term structure can return vols | |
Protected Member Functions | |
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 |
virtual void | setBaseLevel (Volatility v) |
Protected Attributes | |
Volatility | baseLevel_ |
Period | observationLag_ |
Frequency | frequency_ |
bool | indexIsInterpolated_ |
Detailed Description
Abstract interface ... no data, only results.
Basically used to change the BlackVariance() methods to totalVariance. Also deal with lagged observations of an index with a (usually different) availability lag.
Member Function Documentation
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 that observes inflation, by default, with the observation lag of the term structure. Because inflation is highly linked to dates (for interpolation, periods, etc) we do NOT provide a time version.
virtual Volatility totalVariance | ( | const Date & | exerciseDate, |
Rate | strike, | ||
const Period & | obsLag = Period(-1, Days) , |
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bool | extrapolate = false |
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) | const [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.
Because inflation is highly linked to dates (for interpolation, periods, etc) we do NOT provide a time version
virtual Period observationLag | ( | ) | const [virtual] |
The TS 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.
virtual Volatility volatilityImpl | ( | Time | length, |
Rate | strike | ||
) | const [protected, pure virtual] |
Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.
Implemented in KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >, InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >, ConstantYoYOptionletVolatility, and InterpolatedYoYOptionletVolatilityCurve< Interpolator >.