QuantLib_CPICapFloorTermPriceSurface man page

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


#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
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]



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]


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


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).

QuantLib Version 1.8.1 Fri Sep 23 2016