InterpolatedYoYOptionletVolatilityCurve Class Template Reference
Interpolated flat smile surface. More...
#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>
Inheritance diagram for InterpolatedYoYOptionletVolatilityCurve:

Public Member Functions | |
Constructor | |
InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &d, const std::vector< Volatility > &v, Rate minStrike, Rate maxStrike, const Interpolator1D &interpolator=Interpolator1D()) | |
calculate the reference date based on the global evaluation date | |
Limits | |
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 | |
Bootstrap interface | |
virtual const std::vector< Time > & | times () const |
virtual const std::vector< Date > & | dates () const |
virtual const std::vector< Real > & | data () const |
virtual std::vector< std::pair < Date, Real > > | nodes () const |
Protected Member Functions | |
InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const Interpolator1D &interpolator=Interpolator1D()) | |
virtual Volatility | volatilityImpl (Time length, Rate strike) const |
implements the actual volatility calculation in derived classes | |
Protected Attributes | |
std::vector< Date > | dates_ |
std::vector< Time > | times_ |
std::vector< Real > | data_ |
std::vector< std::pair< Date, Real > > | nodes_ |
Interpolator1D | interpolator_ |
Interpolation | interpolation_ |
Rate | minStrike_ |
Rate | maxStrike_ |
Detailed Description
template<class Interpolator1D>
class QuantLib::InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >
Interpolated flat smile surface.
Interpolated in T direction and constant in K direction.
Constructor & Destructor Documentation
InterpolatedYoYOptionletVolatilityCurve | ( | Natural | settlementDays, | |
const Calendar & | cal, | |||
BusinessDayConvention | bdc, | |||
const DayCounter & | dc, | |||
const Period & | lag, | |||
Frequency | frequency, | |||
bool | indexIsInterpolated, | |||
const std::vector< Date > & | d, | |||
const std::vector< Volatility > & | v, | |||
Rate | minStrike, | |||
Rate | maxStrike, | |||
const Interpolator1D & | interpolator = Interpolator1D() | |||
) |
calculate the reference date based on the global evaluation date
The dates are those of the volatility ... there is no lag on the dates but they are relative to a start date earlier than the reference date as always for inflation.
Member Function Documentation
Volatility volatilityImpl | ( | Time | length, | |
Rate | strike | |||
) | const [protected, virtual] |
implements the actual volatility calculation in derived classes
For the curve strike is ignored because the smile is (can only be) flat.
Implements YoYOptionletVolatilitySurface.