- QuantLib
- CPICapFloorTermPriceSurface
Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity). More...
#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
Public Member Functions | |
CPICapFloorTermPriceSurface (Real nominal, Real baseRate, const Period &observationLag, const Calendar &cal, const BusinessDayConvention &bdc, const DayCounter &dc, const Handle< ZeroInflationIndex > &zii, const Handle< YieldTermStructure > &yts, const std::vector< Rate > &cStrikes, const std::vector< Rate > &fStrikes, const std::vector< Period > &cfMaturities, const Matrix &cPrice, const Matrix &fPrice) | |
Handle< ZeroInflationIndex > | zeroInflationIndex () const |
is based on | |
virtual std::vector< Rate > | strikes () const |
virtual std::vector< Rate > | capStrikes () const |
virtual std::vector< Rate > | floorStrikes () const |
virtual std::vector< Period > | maturities () const |
virtual const Matrix & | capPrices () const |
virtual const Matrix & | floorPrices () const |
virtual Rate | minStrike () const |
virtual Rate | maxStrike () const |
virtual Date | minDate () const |
virtual Date | maxDate () const |
the latest date for which the curve can return values | |
virtual Date | cpiOptionDateFromTenor (const Period &p) const |
InflationTermStructure interface | |
Period | observationLag () const |
Date | baseDate () const |
minimum (base) date | |
virtual Real | nominal () const |
inspectors | |
virtual BusinessDayConvention | businessDayConvention () const |
virtual Real | price (const Period &d, Rate k) const |
virtual Real | capPrice (const Period &d, Rate k) const |
virtual Real | floorPrice (const Period &d, Rate k) const |
virtual Real | price (const Date &d, Rate k) const =0 |
virtual Real | capPrice (const Date &d, Rate k) const =0 |
virtual Real | floorPrice (const Date &d, Rate k) const =0 |
Protected Member Functions | |
virtual bool | checkStrike (Rate K) |
virtual bool | checkMaturity (const Date &d) |
Protected Attributes | |
Handle< ZeroInflationIndex > | zii_ |
std::vector< Rate > | cStrikes_ |
std::vector< Rate > | fStrikes_ |
std::vector< Period > | cfMaturities_ |
std::vector< Real > | cfMaturityTimes_ |
Matrix | cPrice_ |
Matrix | fPrice_ |
std::vector< Rate > | cfStrikes_ |
Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity).
The inflation index MUST contain a ZeroInflationTermStructure as this is used to create ATM. Unlike YoY price surfaces we assume that 1) an ATM ZeroInflationTermStructure is available and 2) that it is safe to use it. This is supported by the fact that no stripping is required for CPI cap/floors as they only give one flow.
cpi cap/floors have a single (one) flow (unlike nominal caps) because they observe cumulative inflation up to their maturity. Options are on CPI(T)/CPI(0) but strikes are quoted for yearly average inflation, so require transformation via (1+quote)^T to obtain actual strikes. These are consistent with ZCIIS quoting conventions.
The observationLag is that for the referenced instrument prices. Strikes are as-quoted not as-used.
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.
Reimplemented from InflationTermStructure.
minimum (base) date
Important in inflation since it starts before nominal reference date. Changes depending whether index is interpolated or not. When interpolated the base date is just observation lag before nominal. When not interpolated it is the beginning of the relevant period (hence it is easy to create interpolated fixings from a not-interpolated curve because interpolation, usually, of fixings is forward looking).
Implements InflationTermStructure.
inspectors