# QuantLib_CPICapFloorTermPriceSurface man page

CPICapFloorTermPriceSurface — Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity).

## Synopsis

`#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>`

Inherits **InflationTermStructure**.

Inherited by InterpolatedCPICapFloorTermPriceSurface< Interpolator2D >.

### Public Member Functions

**CPICapFloorTermPriceSurface** (**Real nominal**, **Real** baseRate, const **Period** &**observationLag**, const **Calendar** &cal, const **BusinessDayConvention** &bdc, const **DayCounter** &dc, const **Handle**< **ZeroInflationIndex** > &zii, const **Handle**< **YieldTermStructure** > &yts, const std::vector< **Rate** > &cStrikes, const std::vector< **Rate** > &fStrikes, const std::vector< **Period** > &cfMaturities, const **Matrix** &cPrice, const **Matrix** &fPrice)**Handle**< **ZeroInflationIndex** > **zeroInflationIndex** () const

is based on

virtual std::vector< **Rate** > **strikes** () const

virtual std::vector< **Rate** > **capStrikes** () const

virtual std::vector< **Rate** > **floorStrikes** () const

virtual std::vector< **Period** > **maturities** () const

virtual const **Matrix** & **capPrices** () const

virtual const **Matrix** & **floorPrices** () const

virtual **Rate minStrike** () const

virtual **Rate maxStrike** () const

virtual **Date minDate** () const

virtual **Date maxDate** () const

the latest date for which the curve can return values

virtual **Date cpiOptionDateFromTenor** (const **Period** &p) const

**InflationTermStructure interface**

**Period observationLag** () const**Date baseDate** () const

minimum (base) date

virtual **Real nominal** () const

inspectors

virtual **BusinessDayConvention businessDayConvention** () const

virtual **Real price** (const **Period** &d, **Rate** k) const

virtual **Real capPrice** (const **Period** &d, **Rate** k) const

virtual **Real floorPrice** (const **Period** &d, **Rate** k) const

virtual **Real price** (const **Date** &d, **Rate** k) const =0

virtual **Real capPrice** (const **Date** &d, **Rate** k) const =0

virtual **Real floorPrice** (const **Date** &d, **Rate** k) const =0

### Protected Member Functions

virtual bool **checkStrike** (**Rate** K)

virtual bool **checkMaturity** (const **Date** &d)

### Protected Attributes

**Handle**< **ZeroInflationIndex** > **zii_**

std::vector< **Rate** > **cStrikes_**

std::vector< **Rate** > **fStrikes_**

std::vector< **Period** > **cfMaturities_**

std::vector< **Real** > **cfMaturityTimes_****Matrix cPrice_****Matrix fPrice_**

std::vector< **Rate** > **cfStrikes_**

### Additional Inherited Members

## Detailed Description

Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity).

The inflation index MUST contain a **ZeroInflationTermStructure** as this is used to create ATM. Unlike YoY price surfaces we assume that 1) an ATM **ZeroInflationTermStructure** is available and 2) that it is safe to use it. This is supported by the fact that no stripping is required for CPI cap/floors as they only give one flow.

cpi cap/floors have a single (one) flow (unlike nominal caps) because they observe cumulative inflation up to their maturity. Options are on CPI(T)/CPI(0) but strikes are quoted for yearly average inflation, so require transformation via (1+quote)^T to obtain actual strikes. These are consistent with ZCIIS quoting conventions.

The observationLag is that for the referenced instrument prices. Strikes are as-quoted not as-used.

## Member Function Documentation

### Period observationLag () const [virtual]

The TS 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.

Reimplemented from **InflationTermStructure**.

### Date baseDate () const [virtual]

minimum (base) date Important in inflation since it starts before nominal reference date. Changes depending whether index is interpolated or not. When interpolated the base date is just observation lag before nominal. When not interpolated it is the beginning of the relevant period (hence it is easy to create interpolated fixings from a not-interpolated curve because interpolation, usually, of fixings is forward looking).

Implements **InflationTermStructure**.

### Real nominal () const [virtual]

inspectors

**Note:**you don't know if

**price()**is a cap or a floor without checking the ZeroInflation ATM level.

### virtual Real price (const Period & d, Rate k) const [virtual]

**Warning**you MUST remind the compiler in any descendants with the using:: mechanism because you overload the names remember that the strikes use the quoting convention

## Author

Generated automatically by Doxygen for QuantLib from the source code.

## Referenced By

baseDate(3), capPrice(3), capPrices(3), capStrikes(3), cfMaturities_(3), cfMaturityTimes_(3), cfStrikes_(3), checkMaturity(3), checkStrike(3), CPICapFloorTermPriceSurface(3), cpiOptionDateFromTenor(3), cPrice_(3), cStrikes_(3), floorPrice(3), floorPrices(3), floorStrikes(3), fPrice_(3), fStrikes_(3), maturities(3), minDate(3), zeroInflationIndex(3) and zii_(3) are aliases of QuantLib_CPICapFloorTermPriceSurface(3).