KInterpolatedYoYOptionletVolatilitySurface Class Template Reference
K-interpolated YoY optionlet volatility. More...
#include <ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp>
Inheritance diagram for KInterpolatedYoYOptionletVolatilitySurface:

Constructor | |
calculate the reference date based on the global evaluation date | |
boost::shared_ptr < YoYCapFloorTermPriceSurface > | capFloorPrices_ |
boost::shared_ptr < YoYInflationCapFloorEngine > | yoyInflationCouponPricer_ |
boost::shared_ptr < YoYOptionletStripper > | yoyOptionletStripper_ |
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 |
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 [protected, virtual] |
Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.
Implements YoYOptionletVolatilitySurface.