QuantLib_InterpolatedYoYOptionletVolatilityCurve

InterpolatedYoYOptionletVolatilityCurve< Interpolator1D > — Interpolated flat smile surface.

Synopsis

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

Inherits YoYOptionletVolatilitySurface, and InterpolatedCurve< Interpolator1D >.

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 &i=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 &i=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< std::pair< Date, Real > > nodes_

Rate minStrike_

Rate maxStrike_

Additional Inherited Members

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 & i = 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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

InterpolatedYoYOptionletVolatilityCurve(3) and nodes_(3) are aliases of QuantLib_InterpolatedYoYOptionletVolatilityCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib