- QuantLib
- CPIVolatilitySurface
zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures More...
#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
Public Member Functions | |
CPIVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated) | |
Volatility | |
Volatility | volatility (const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
Returns the volatility for a given maturity date and strike rate. | |
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 |
virtual Volatility | totalVariance (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const |
Inspectors | |
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 |
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 |
Protected Attributes | |
Volatility | baseLevel_ |
Period | observationLag_ |
Frequency | frequency_ |
bool | indexIsInterpolated_ |
zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
Abstract interface. CPI volatility is always with respect to some base date. Also deal with lagged observations of an index with a (usually different) availability lag.
CPIVolatilitySurface | ( | Natural | settlementDays, |
const Calendar & | , | ||
BusinessDayConvention | bdc, | ||
const DayCounter & | dc, | ||
const Period & | observationLag, | ||
Frequency | frequency, | ||
bool | indexIsInterpolated | ||
) |
calculates the reference date based on the global evaluation date.
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.
by default, inflation is observed with the lag of the term structure.
Because inflation is highly linked to dates (for interpolation, periods, etc) time-based overload of the methods are not provided.
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.
virtual Volatility totalVariance | ( | const Period & | optionTenor, |
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 option tenor and strike rate.
virtual Period observationLag | ( | ) | const [virtual] |
The term structure 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.