QuantLib_YoYCapFloorTermPriceSurface man page

YoYCapFloorTermPriceSurface — Abstract base class, inheriting from InflationTermStructure.  

Synopsis

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

Inherits InflationTermStructure.

Inherited by InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >.

Public Member Functions

YoYCapFloorTermPriceSurface (Natural fixingDays, const Period &yyLag, const boost::shared_ptr< YoYInflationIndex > &yii, Rate baseRate, const Handle< YieldTermStructure > &nominal, const DayCounter &dc, const Calendar &cal, const BusinessDayConvention &bdc, const std::vector< Rate > &cStrikes, const std::vector< Rate > &fStrikes, const std::vector< Period > &cfMaturities, const Matrix &cPrice, const Matrix &fPrice)
virtual std::pair< std::vector< Time >, std::vector< Rate > > atmYoYSwapTimeRates () const =0
atm yoy swaps from put-call parity on cap/floor data
virtual std::pair< std::vector< Date >, std::vector< Rate > > atmYoYSwapDateRates () const =0
virtual boost::shared_ptr< YoYInflationTermStructure > YoYTS () const =0
derived from yoy swap rates
boost::shared_ptr< YoYInflationIndex > yoyIndex () const
index yoy is based on
virtual Date yoyOptionDateFromTenor (const Period &p) const

virtual BusinessDayConvention businessDayConvention () const
inspectors
virtual Natural fixingDays () const
virtual Real price (const Date &d, const Rate k) const =0
virtual Real capPrice (const Date &d, const Rate k) const =0
virtual Real floorPrice (const Date &d, const Rate k) const =0
virtual Rate atmYoYSwapRate (const Date &d, bool extrapolate=true) const =0
virtual Rate atmYoYRate (const Date &d, const Period &obsLag=Period(-1, Days), bool extrapolate=true) const =0
virtual Real price (const Period &d, const Rate k) const
virtual Real capPrice (const Period &d, const Rate k) const
virtual Real floorPrice (const Period &d, const Rate k) const
virtual Rate atmYoYSwapRate (const Period &d, bool extrapolate=true) const
virtual Rate atmYoYRate (const Period &d, const Period &obsLag=Period(-1, Days), bool extrapolate=true) const
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 Rate minStrike () const
virtual Rate maxStrike () const
virtual Date minMaturity () const
virtual Date maxMaturity () const

Protected Member Functions

virtual bool checkStrike (Rate K)
virtual bool checkMaturity (const Date &d)

Protected Attributes

Natural fixingDays_
BusinessDayConvention bdc_
boost::shared_ptr< YoYInflationIndex > yoyIndex_
std::vector< Rate > cStrikes_
std::vector< Rate > fStrikes_
std::vector< Period > cfMaturities_
std::vector< Real > cfMaturityTimes_
Matrix cPrice_
Matrix fPrice_
std::vector< Rate > cfStrikes_
boost::shared_ptr< YoYInflationTermStructure > yoy_
std::pair< std::vector< Time >, std::vector< Rate > > atmYoYSwapTimeRates_
std::pair< std::vector< Date >, std::vector< Rate > > atmYoYSwapDateRates_

Additional Inherited Members

Detailed Description

Abstract base class, inheriting from InflationTermStructure.

Since this can create a yoy term structure it does take a YoY index.

Member Function Documentation

virtual std::pair<std::vector<Time>, std::vector<Rate> > atmYoYSwapTimeRates () const [pure virtual]

atm yoy swaps from put-call parity on cap/floor data uses interpolation (on surface price data), yearly maturities.

virtual BusinessDayConvention businessDayConvention () const [virtual]

inspectors

Note:

you don't know if price() is a cap or a floor without checking the YoYSwapATM level.

atm cap/floor prices are generally inaccurate because they are from extrapolation and intersection.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages atmYoYRate(3), atmYoYSwapDateRates(3), atmYoYSwapDateRates_(3), atmYoYSwapRate(3), atmYoYSwapTimeRates(3), atmYoYSwapTimeRates_(3), bdc_(3), maxMaturity(3), minMaturity(3), yoy_(3), YoYCapFloorTermPriceSurface(3), yoyIndex(3), yoyIndex_(3), yoyOptionDateFromTenor(3) and YoYTS(3) are aliases of QuantLib_YoYCapFloorTermPriceSurface(3).

Wed Aug 2 2017 Version 1.10 QuantLib