QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
YoYCapFloorTermPriceSurface Class Referenceabstract

Abstract base class, inheriting from InflationTermStructure. More...

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

+ Inheritance diagram for YoYCapFloorTermPriceSurface:

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 More...
 
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 More...
 
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< Ratestrikes () const
 
virtual std::vector< RatecapStrikes () const
 
virtual std::vector< RatefloorStrikes () const
 
virtual std::vector< Periodmaturities () const
 
virtual Rate minStrike () const
 
virtual Rate maxStrike () const
 
virtual Date minMaturity () const
 
virtual Date maxMaturity () const
 
- Public Member Functions inherited from InflationTermStructure
void setSeasonality (const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
 Functions to set and get seasonality. More...
 
boost::shared_ptr< Seasonalityseasonality () const
 
bool hasSeasonality () const
 
 InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
 
 InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
 
 InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
 
virtual Period observationLag () const
 
virtual Frequency frequency () const
 
virtual bool indexIsInterpolated () const
 
virtual Rate baseRate () const
 
virtual Handle
< YieldTermStructure
nominalTermStructure () const
 
virtual Date baseDate () const =0
 minimum (base) date More...
 
- 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 DatereferenceDate () 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 &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (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 bool checkStrike (Rate K)
 
virtual bool checkMaturity (const Date &d)
 
- Protected Member Functions inherited from InflationTermStructure
virtual void setBaseRate (const Rate &r)
 
void checkRange (const Date &, bool extrapolate) const
 
void checkRange (Time t, bool extrapolate) const
 
- 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

Natural fixingDays_
 
BusinessDayConvention bdc_
 
boost::shared_ptr
< YoYInflationIndex
yoyIndex_
 
std::vector< RatecStrikes_
 
std::vector< RatefStrikes_
 
std::vector< PeriodcfMaturities_
 
std::vector< RealcfMaturityTimes_
 
Matrix cPrice_
 
Matrix fPrice_
 
std::vector< RatecfStrikes_
 
boost::shared_ptr
< YoYInflationTermStructure
yoy_
 
std::pair< std::vector< Time >
, std::vector< Rate > > 
atmYoYSwapTimeRates_
 
std::pair< std::vector< Date >
, std::vector< Rate > > 
atmYoYSwapDateRates_
 
- Protected Attributes inherited from InflationTermStructure
boost::shared_ptr< Seasonalityseasonality_
 
Period observationLag_
 
Frequency frequency_
 
bool indexIsInterpolated_
 
Rate baseRate_
 
Handle< YieldTermStructurenominalTermStructure_
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 

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.