KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > Class Template Reference

K-interpolated YoY optionlet volatility. More...

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

Inheritance diagram for KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >:

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
Public Member Functions inherited from YoYOptionletVolatilitySurface
virtual Volatility	baseLevel () const
	YoYOptionletVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated)
virtual	~YoYOptionletVolatilitySurface ()
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
Protected Member Functions inherited from YoYOptionletVolatilitySurface
virtual void	checkRange (const Date &, Rate strike, bool extrapolate) const
virtual void	checkRange (Time, Rate strike, bool extrapolate) const
virtual void	setBaseLevel (Volatility v)
Protected Attributes inherited from YoYOptionletVolatilitySurface
Volatility	baseLevel_
Period	observationLag_
Frequency	frequency_
bool	indexIsInterpolated_

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

protectedvirtual

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

Implements YoYOptionletVolatilitySurface.