K-interpolated YoY optionlet volatility. More...
#include <ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp>
Constructor | |
calculate the reference date based on the global evaluation date | |
ext::shared_ptr< YoYCapFloorTermPriceSurface > | capFloorPrices_ |
ext::shared_ptr< YoYInflationCapFloorEngine > | yoyInflationCouponPricer_ |
ext::shared_ptr< YoYOptionletStripper > | yoyOptionletStripper_ |
Interpolator1D | factory1D_ |
Real | slope_ |
bool | lastDateisSet_ |
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, const ext::shared_ptr< YoYInflationCapFloorEngine > &pricer, const ext::shared_ptr< YoYOptionletStripper > &yoyOptionletStripper, Real slope, const Interpolator1D &interpolator=Interpolator1D()) | |
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 | |
virtual Date | maxDate () const |
the latest date for which the curve can return values | |
std::pair< std::vector< Rate >, std::vector< Volatility > > | Dslice (const Date &d) const |
virtual Volatility | volatilityImpl (const Date &d, Rate strike) const |
virtual Volatility | volatilityImpl (Time length, Rate strike) const |
virtual void | performCalculations () const |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
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) | |
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 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 | |
virtual Volatility | baseLevel () const |
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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 | |
virtual BusinessDayConvention | businessDayConvention () const |
the business day convention used in tenor to date conversion | |
Date | optionDateFromTenor (const Period &) const |
period/date conversion | |
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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 | ~TermStructure () |
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 Date & | referenceDate () 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 () |
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Observer (const Observer &) | |
Observer & | operator= (const 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 | deepUpdate () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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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 | |
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virtual void | checkRange (const Date &, Rate strike, bool extrapolate) const |
virtual void | checkRange (Time, Rate strike, bool extrapolate) const |
virtual void | setBaseLevel (Volatility v) |
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void | checkStrike (Rate strike, bool extrapolate) const |
strike-range check | |
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void | checkRange (const Date &d, bool extrapolate) const |
date-range check | |
void | checkRange (Time t, bool extrapolate) const |
time-range check | |
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Volatility | baseLevel_ |
Period | observationLag_ |
Frequency | frequency_ |
bool | indexIsInterpolated_ |
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bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
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.
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protectedvirtual |
Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.
Implements YoYOptionletVolatilitySurface.