CPIVolatilitySurface Class Referenceabstract

zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures More...

#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>

Inheritance diagram for CPIVolatilitySurface:

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. More...
 
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
 
- 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 (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 
 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 Date maxDate () const =0
 the latest date for which the curve can return values
 
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< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
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

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 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

Volatility baseLevel_
 
Period observationLag_
 
Frequency frequency_
 
bool indexIsInterpolated_
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

Detailed Description

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.

Constructor & Destructor Documentation

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.

Member Function Documentation

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.

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),
bool  extrapolate = false 
) 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),
bool  extrapolate = false 
) 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
protectedpure virtual

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