QuantLib_KInterpolatedYoYOptionletVolatilitySurface

KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > — K-interpolated YoY optionlet volatility.

Synopsis

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

Inherits YoYOptionletVolatilitySurface.

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

Additional Inherited Members

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

capFloorPrices_(3), Dslice(3), factory1D_(3), KInterpolatedYoYOptionletVolatilitySurface(3), lastDate_(3), lastDateisSet_(3), slice_(3), slope_(3), tempKinterpolation_(3), yoyInflationCouponPricer_(3) and yoyOptionletStripper_(3) are aliases of QuantLib_KInterpolatedYoYOptionletVolatilitySurface(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib