QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Types | Public Member Functions | Friends | List of all members
PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > Class Template Reference

Piecewise year-on-year inflation volatility term structure. More...

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

+ Inheritance diagram for PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >:

Public Types

typedef Traits traits_type
 
typedef Interpolator interpolator_type
 
- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Public Member Functions

 PiecewiseYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, Real accuracy=1.0e-12, const Interpolator &interpolator=Interpolator())
 
Inflation interface
Date baseDate () const
 
Date maxDate () const
 the latest date for which the curve can return values
 
Inspectors
const std::vector< Time > & times () const
 
const std::vector< Date > & dates () const
 
const std::vector< Real > & data () const
 
std::vector< std::pair< Date, Real > > nodes () const
 
Observer interface
void update ()
 
- Public Member Functions inherited from InterpolatedYoYOptionletVolatilityCurve< Interpolator >
 InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &d, const std::vector< Volatility > &v, Rate minStrike, Rate maxStrike, const Interpolator &i=Interpolator())
 calculate the reference date based on the global evaluation date More...
 
virtual Real minStrike () const
 the minimum strike for which the term structure can return vols
 
virtual Real maxStrike () const
 the maximum strike for which the term structure can return vols
 
- Public Member Functions inherited from YoYOptionletVolatilitySurface
virtual Volatility baseLevel () const
 
 YoYOptionletVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated)
 
virtual ~YoYOptionletVolatilitySurface ()
 
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. 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
 
virtual Period observationLag () const
 
virtual Frequency frequency () const
 
virtual bool indexIsInterpolated () 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
 
- Public Member Functions inherited from VolatilityTermStructure
virtual BusinessDayConvention businessDayConvention () const
 the business day convention used in tenor to date conversion
 
Date optionDateFromTenor (const Period &) const
 period/date conversion
 
 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
 
 VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
 
- Public Member Functions inherited from TermStructure
 TermStructure (const DayCounter &dc=DayCounter())
 default constructor More...
 
 TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
 initialize with a fixed reference date
 
 TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date
 
virtual DayCounter dayCounter () const
 the day counter used for date/time conversion
 
Time timeFromReference (const Date &date) const
 date/time conversion
 
virtual Time maxTime () const
 the latest time for which the curve can return values
 
virtual const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0
 
virtual Calendar calendar () const
 the calendar used for reference and/or option date calculation
 
virtual Natural settlementDays () const
 the settlementDays used for reference date calculation
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Extrapolator
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 

Friends

class Bootstrap< this_curve >
 
class BootstrapError< this_curve >
 

Additional Inherited Members

- Protected Member Functions inherited from InterpolatedYoYOptionletVolatilityCurve< Interpolator >
 InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const Interpolator &i=Interpolator())
 
virtual Volatility volatilityImpl (Time length, Rate strike) const
 implements the actual volatility calculation in derived classes 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
 
- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check
 
void checkRange (Time t, bool extrapolate) const
 time-range check
 
- Protected Member Functions inherited from InterpolatedCurve< Interpolator >
void setupInterpolation ()
 
 InterpolatedCurve (const std::vector< Time > &times, const std::vector< Real > &data, const Interpolator &i=Interpolator())
 
 InterpolatedCurve (const std::vector< Time > &times, const Interpolator &i=Interpolator())
 
 InterpolatedCurve (Size n, const Interpolator &i=Interpolator())
 
 InterpolatedCurve (const Interpolator &i=Interpolator())
 
 InterpolatedCurve (const InterpolatedCurve &c)
 
InterpolatedCurveoperator= (const InterpolatedCurve &c)
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Attributes inherited from InterpolatedYoYOptionletVolatilityCurve< Interpolator >
std::vector< Datedates_
 
std::vector< std::pair< Date, Real > > nodes_
 
Rate minStrike_
 
Rate maxStrike_
 
- Protected Attributes inherited from YoYOptionletVolatilitySurface
Volatility baseLevel_
 
Period observationLag_
 
Frequency frequency_
 
bool indexIsInterpolated_
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 
- Protected Attributes inherited from InterpolatedCurve< Interpolator >
std::vector< Timetimes_
 
std::vector< Realdata_
 
Interpolation interpolation_
 
Interpolator interpolator_
 
Date maxDate_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = YoYInflationVolatilityTraits>
class QuantLib::PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >

Piecewise year-on-year inflation volatility term structure.

We use a flat smile for bootstrapping at constant K. Happily most of the work has already been done in the bootstrapping classes. We only need to add special attention for the start where there is usually no data, only assumptions.

Member Function Documentation

void update ( )
virtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.