Interpolated flat smile surface. More...
#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>

Public Member Functions | |
Constructor | |
| InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &d, const std::vector< Volatility > &v, Rate minStrike, Rate maxStrike, const Interpolator1D &interpolator=Interpolator1D()) | |
| calculate the reference date based on the global evaluation date | |
Limits | |
| 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 | |
Bootstrap interface | |
| virtual const std::vector< Time > & | times () const |
| virtual const std::vector< Date > & | dates () const |
| virtual const std::vector< Real > & | data () const |
|
virtual std::vector< std::pair < Date, Real > > | nodes () const |
Protected Member Functions | |
| InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const Interpolator1D &interpolator=Interpolator1D()) | |
| virtual Volatility | volatilityImpl (Time length, Rate strike) const |
| implements the actual volatility calculation in derived classes | |
Protected Attributes | |
| std::vector< Date > | dates_ |
| std::vector< Time > | times_ |
| std::vector< Real > | data_ |
|
std::vector< std::pair< Date, Real > > | nodes_ |
| Interpolator1D | interpolator_ |
| Interpolation | interpolation_ |
| Rate | minStrike_ |
| Rate | maxStrike_ |
Interpolated flat smile surface.
Interpolated in T direction and constant in K direction.
| InterpolatedYoYOptionletVolatilityCurve | ( | Natural | settlementDays, |
| const Calendar & | cal, | ||
| BusinessDayConvention | bdc, | ||
| const DayCounter & | dc, | ||
| const Period & | lag, | ||
| Frequency | frequency, | ||
| bool | indexIsInterpolated, | ||
| const std::vector< Date > & | d, | ||
| const std::vector< Volatility > & | v, | ||
| Rate | minStrike, | ||
| Rate | maxStrike, | ||
| const Interpolator1D & | interpolator = Interpolator1D() |
||
| ) |
calculate the reference date based on the global evaluation date
The dates are those of the volatility ... there is no lag on the dates but they are relative to a start date earlier than the reference date as always for inflation.
| Volatility volatilityImpl | ( | Time | length, |
| Rate | strike | ||
| ) | const [protected, virtual] |
implements the actual volatility calculation in derived classes
For the curve strike is ignored because the smile is (can only be) flat.
Implements YoYOptionletVolatilitySurface.