CPIVolatilitySurface Class Reference

zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures More...

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

Inheritance diagram for CPIVolatilitySurface:

Public Member Functions
	CPIVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated)
Volatility
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. More...
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
virtual Volatility	totalVariance (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
Inspectors
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
virtual Volatility	baseLevel () const
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
Public Member Functions inherited from VolatilityTermStructure
virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion
Date	optionDateFromTenor (const Period &) const
	period/date conversion
	VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
Public Member Functions inherited from TermStructure
	TermStructure (const DayCounter &dc=DayCounter())
	default constructor More...
	TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion
Time	timeFromReference (const Date &date) const
	date/time conversion
virtual Date	maxDate () const =0
	the latest date for which the curve can return values
virtual Time	maxTime () const
	the latest time for which the curve can return values
virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0
virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation
virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation
void	update ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)
void	registerWithObservables (const boost::shared_ptr< Observer > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls
void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls
bool	allowsExtrapolation () const
	tells whether extrapolation is enabled

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
Protected Member Functions inherited from VolatilityTermStructure
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check
Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check

Protected Attributes
Volatility	baseLevel_
Period	observationLag_
Frequency	frequency_
bool	indexIsInterpolated_
Protected Attributes inherited from TermStructure
bool	moving_
bool	updated_
Calendar	calendar_

Detailed Description

zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures

Abstract interface. CPI volatility is always with respect to some base date. Also deal with lagged observations of an index with a (usually different) availability lag.

Constructor & Destructor Documentation

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

calculates the reference date based on the global evaluation date.

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.

by default, inflation is observed with the lag of the term structure.

Because inflation is highly linked to dates (for interpolation, periods, etc) time-based overload of the methods are not provided.

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.

virtual Volatility totalVariance ( const Period &  optionTenor, Rate  strike, const Period &  obsLag = Period(-1, Days), bool  extrapolate = false  ) const

virtual

returns the total integrated variance for a given option tenor and strike rate.

virtual Period observationLag ( ) const

virtual

The term structure 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

protectedpure virtual

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