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:

List of all members.

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.
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

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 Attributes

Volatility baseLevel_
Period observationLag_
Frequency frequency_
bool indexIsInterpolated_

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 [protected, pure virtual]

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