QuantLib_YoYOptionletVolatilitySurface man page

YoYOptionletVolatilitySurface

Synopsis

#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>

Inherits VolatilityTermStructure.

Inherited by InterpolatedYoYOptionletVolatilityCurve< Interpolator >, ConstantYoYOptionletVolatility, InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >, and KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >.

Public Member Functions

virtual Volatility baseLevel () const

Constructor
calculate the reference date based on the global evaluation date

YoYOptionletVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated)
virtual ~YoYOptionletVolatilitySurface ()

Volatility (only)

Volatility volatility (const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
Volatility volatility (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
returns the volatility for a given option tenor and strike rate
virtual Volatility totalVariance (const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
Returns the total integrated variance for a given exercise date and strike rate.
virtual Volatility totalVariance (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
returns the total integrated variance for a given option tenor and strike rate
virtual Period observationLag () const
virtual Frequency frequency () const
virtual bool indexIsInterpolated () const
virtual Date baseDate () const
virtual Time timeFromBase (const Date &date, const Period &obsLag=Period(-1, Days)) const
base date will be in the past because of observation lag

Limits

virtual Real minStrike () const =0
the minimum strike for which the term structure can return vols
virtual Real maxStrike () const =0
the maximum strike for which the term structure can return vols

Protected Member Functions

virtual void checkRange (const Date &, Rate strike, bool extrapolate) const
virtual void checkRange (Time, Rate strike, bool extrapolate) const
virtual Volatility volatilityImpl (Time length, Rate strike) const =0
virtual void setBaseLevel (Volatility v)

Protected Attributes

Volatility baseLevel_
Period observationLag_
Frequency frequency_
bool indexIsInterpolated_

Additional Inherited Members

Detailed Description

Abstract interface ... no data, only results.

Basically used to change the BlackVariance() methods to totalVariance. Also deal with lagged observations of an index with a (usually different) availability lag.

Member Function Documentation

Volatility volatility (const Date & maturityDate, Rate strike, const Period & obsLag = Period(-1, Days), bool extrapolate = false) const

Returns the volatility for a given maturity date and strike rate that observes inflation, by default, with the observation lag of the term structure. Because inflation is highly linked to dates (for interpolation, periods, etc) we do NOT provide a time version.

virtual Volatility totalVariance (const Date & exerciseDate, Rate strike, const Period & obsLag = Period(-1, Days), bool extrapolate = false) const [virtual]

Returns the total integrated variance for a given exercise date and strike rate. Total integrated variance is useful because it scales out t for the optionlet pricing formulae. Note that it is called 'total' because the surface does not know whether it represents Black, Bachelier or Displaced Diffusion variance. These are virtual so alternate connections between const vol and total var are possible.

Because inflation is highly linked to dates (for interpolation, periods, etc) we do NOT provide a time version

virtual 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.

virtual Volatility volatilityImpl (Time length, Rate strike) const [protected], [pure virtual]

Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.

Implemented in ConstantYoYOptionletVolatility, InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >, InterpolatedYoYOptionletVolatilityCurve< Interpolator >, and KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

setBaseLevel(3), YoYOptionletVolatilitySurface(3) and _YoYOptionletVolatilitySurface(3) are aliases of QuantLib_YoYOptionletVolatilitySurface(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib