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| CPIVolatilitySurface (QuantLib::Natural settlementDays, const QuantLib::Calendar &, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const QuantLib::Period &observationLag, QuantLib::Frequency frequency, bool indexIsInterpolated, const QuantLib::Date &capFloorStartDate=QuantLib::Date(), QuantLib::VolatilityType volType=QuantLib::ShiftedLognormal, double displacement=0.0) |
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QuantLib::Date | optionDateFromTenor (const QuantLib::Period &tenor) const override |
| Computes the expiry date from the capFloorStartDate()
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QuantLib::Date | baseDate () const override |
| base date will be in the past
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QuantLib::VolatilityType | volatilityType () const |
| Returns the volatility type.
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double | displacement () const |
| Returns the displacement for lognormal volatilities.
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bool | isLogNormal () const |
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QuantLib::Volatility | volatility (const QuantLib::Date &maturityDate, QuantLib::Rate strike, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days), bool extrapolate=false) const override |
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virtual QuantLib::Real | atmStrike (const QuantLib::Date &maturity, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days)) const =0 |
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QuantLib::Date | capFloorStartDate () const |
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Abstract interface. CPI volatility is always with respect to some base date of the quoted Zero Coupon Caps and Floor. Also deal with lagged observations of an index with a (usually different) availability lag.