- QuantLib
- PiecewiseYoYOptionletVolatilityCurve
Piecewise year-on-year inflation volatility term structure. More...
#include <ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp>
Public Types | |
typedef Traits | traits_type |
typedef Interpolator | interpolator_type |
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 () |
Friends | |
class | Bootstrap< this_curve > |
class | BootstrapError< this_curve > |
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.
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.
Reimplemented from LazyObject.