QuantLib_PiecewiseYoYOptionletVolatilityCurve

PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > — Piecewise year-on-year inflation volatility term structure.

Synopsis

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

Inherits InterpolatedYoYOptionletVolatilityCurve< Interpolator >, and LazyObject.

Public Types

typedef Traits traits_type

typedef Interpolator interpolator_type

Public Member Functions

PiecewiseYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, Real accuracy=1.0e-12, const Interpolator &interpolator=Interpolator())

Inflation interface

Date baseDate () const

Date maxDate () const
the latest date for which the curve can return values

Inspectors

const std::vector< Time > & times () const

const std::vector< Date > & dates () const

const std::vector< Real > & data () const

std::vector< std::pair< Date, Real > > nodes () const

Observer interface

void update ()

Friends

class Bootstrap< this_curve >

class BootstrapError< this_curve >

Additional Inherited Members

Detailed Description

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = YoYInflationVolatilityTraits>

class QuantLib::PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >" Piecewise year-on-year inflation volatility term structure.

We use a flat smile for bootstrapping at constant K. Happily most of the work has already been done in the bootstrapping classes. We only need to add special attention for the start where there is usually no data, only assumptions.

Member Function Documentation

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

PiecewiseYoYOptionletVolatilityCurve(3) is an alias of QuantLib_PiecewiseYoYOptionletVolatilityCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib