YoYInflationCapFloor Class Reference

Base class for yoy inflation cap-like instruments. More...

#include <ql/instruments/inflationcapfloor.hpp>

Inheritance diagram for YoYInflationCapFloor:

Classes

class  arguments
 Arguments for YoY Inflation cap/floor calculation More...
 
class  engine
 base class for cap/floor engines More...
 

Public Types

enum  Type { Cap, Floor, Collar }
 

Public Member Functions

 YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates)
 
 YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &strikes)
 
virtual Rate atmRate (const YieldTermStructure &discountCurve) const
 
virtual Volatility impliedVolatility (Real price, const Handle< YoYInflationTermStructure > &yoyCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
 implied term volatility
 
Instrument interface
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
void setupArguments (PricingEngine::arguments *) const
 
Inspectors
Type type () const
 
const std::vector< Rate > & capRates () const
 
const std::vector< Rate > & floorRates () const
 
const LegyoyLeg () const
 
Date startDate () const
 
Date maturityDate () const
 
boost::shared_ptr
< YoYInflationCoupon
lastYoYInflationCoupon () const
 
boost::shared_ptr
< YoYInflationCapFloor
optionlet (const Size n) const
 Returns the n-th optionlet as a cap/floor with only one cash flow.
 
- Public Member Functions inherited from Instrument
virtual void fetchResults (const PricingEngine::results *) const
 
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename T >
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
 
const std::map< std::string,
boost::any > & 
additionalResults () const
 returns all additional result returned by the pricing engine.
 
void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
 set the pricing engine to be used. More...
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void setupExpired () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

Base class for yoy inflation cap-like instruments.

Note that the standard YoY inflation cap/floor defined here is different from nominal, because in nominal world standard cap/floors do not have the first optionlet. This is because they set in advance so there is no point. However, yoy inflation generally sets (effectively) in arrears, (actually in arrears vs lag of a few months) thus the first optionlet is relevant. Hence we can do a parity test without a special definition of the YoY cap/floor instrument.

Tests:
  • the relationship between the values of caps, floors and the resulting collars is checked.
  • the put-call parity between the values of caps, floors and swaps is checked.
  • the correctness of the returned value is tested by checking it against a known good value.

Member Function Documentation

void setupArguments ( PricingEngine::arguments *  ) const
virtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.