- QuantLib
- YoYCapFloorTermPriceSurface
Abstract base class, inheriting from InflationTermStructure. More...
#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>

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 | |
|
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 | |
| 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< Rate > | strikes () const |
| virtual std::vector< Rate > | capStrikes () const |
| virtual std::vector< Rate > | floorStrikes () const |
| virtual std::vector< Period > | maturities () const |
| virtual Rate | minStrike () const |
| virtual Rate | maxStrike () const |
| virtual Date | minMaturity () const |
| virtual Date | maxMaturity () const |
Protected Member Functions | |
| virtual bool | checkStrike (Rate K) |
| virtual bool | checkMaturity (const Date &d) |
Protected Attributes | |
| Natural | fixingDays_ |
| BusinessDayConvention | bdc_ |
|
boost::shared_ptr < YoYInflationIndex > | yoyIndex_ |
| std::vector< Rate > | cStrikes_ |
| std::vector< Rate > | fStrikes_ |
| std::vector< Period > | cfMaturities_ |
| std::vector< Real > | cfMaturityTimes_ |
| Matrix | cPrice_ |
| Matrix | fPrice_ |
| std::vector< Rate > | cfStrikes_ |
|
boost::shared_ptr < YoYInflationTermStructure > | yoy_ |
|
std::pair< std::vector< Time > , std::vector< Rate > > | atmYoYSwapTimeRates_ |
|
std::pair< std::vector< Date > , std::vector< Rate > > | atmYoYSwapDateRates_ |
Abstract base class, inheriting from InflationTermStructure.
Since this can create a yoy term structure it does take a YoY index.
| 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