QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
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KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > Class Template Reference

K-interpolated YoY optionlet volatility. More...

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

+ Inheritance diagram for KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >:

Constructor

calculate the reference date based on the global evaluation date

boost::shared_ptr< YoYCapFloorTermPriceSurfacecapFloorPrices_
 
boost::shared_ptr< YoYInflationCapFloorEngineyoyInflationCouponPricer_
 
boost::shared_ptr< YoYOptionletStripperyoyOptionletStripper_
 
Interpolator1D factory1D_
 
Real slope_
 
bool lastDateisSet_
 
Date lastDate_
 
Interpolation tempKinterpolation_
 
std::pair< std::vector< Rate >, std::vector< Volatility > > slice_
 
 KInterpolatedYoYOptionletVolatilitySurface (const Natural settlementDays, const Calendar &, const BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, const boost::shared_ptr< YoYCapFloorTermPriceSurface > &capFloorPrices, const boost::shared_ptr< YoYInflationCapFloorEngine > &pricer, const boost::shared_ptr< YoYOptionletStripper > &yoyOptionletStripper, const 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

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- 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 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
 
- 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
 
- 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 Attributes inherited from YoYOptionletVolatilitySurface
Volatility baseLevel_
 
Period observationLag_
 
Frequency frequency_
 
bool indexIsInterpolated_
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

Detailed Description

template<class Interpolator1D>
class QuantLib::KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >

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.

Bug:
Tests currently fail.

Member Function Documentation

Volatility volatilityImpl ( Time  length,
Rate  strike 
) const
protectedvirtual

Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.

Implements YoYOptionletVolatilitySurface.