InterpolatedYoYOptionletVolatilityCurve Class Template Reference

Interpolated flat smile surface. More...

#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>

Inheritance diagram for InterpolatedYoYOptionletVolatilityCurve:

List of all members.

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< Datedates_
std::vector< Time > times_
std::vector< Realdata_
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.