CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime > Class Template Reference

Stripped zero inflation volatility structure. More...

#include <qle/termstructures/inflation/cpipricevolatilitysurface.hpp>

Inheritance diagram for CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime >:

Public Member Functions
	CPIPriceVolatilitySurface (PriceQuotePreference type, const QuantLib::Period &observationLag, const QuantLib::Calendar &cal, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dc, const boost::shared_ptr< QuantLib::ZeroInflationIndex > index, QuantLib::Handle< QuantLib::YieldTermStructure > yts, const std::vector< QuantLib::Rate > &cStrikes, const std::vector< QuantLib::Rate > &fStrikes, const std::vector< QuantLib::Period > &cfMaturities, const QuantLib::Matrix &cPrice, const QuantLib::Matrix &fPrice, const boost::shared_ptr< QuantExt::CPICapFloorEngine > &engine, const bool quotedInstrumentsAreInterpolated=false, const QuantLib::Date &capFloorStartDate=QuantLib::Date(), bool ignoreMissingPrices=false, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::VolatilityType &volType=QuantLib::ShiftedLognormal, const double displacement=0.0, const QuantLib::Real &upperVolBound=CPIPriceVolatilitySurfaceDefaultValues::upperVolBound, const QuantLib::Real &lowerVolBound=CPIPriceVolatilitySurfaceDefaultValues::lowerVolBound, const QuantLib::Real &solverTolerance=CPIPriceVolatilitySurfaceDefaultValues::solverTolerance)
QL_DEPRECATED	CPIPriceVolatilitySurface (PriceQuotePreference type, const QuantLib::Period &observationLag, const QuantLib::Calendar &cal, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dc, const boost::shared_ptr< QuantLib::ZeroInflationIndex > index, QuantLib::Handle< QuantLib::YieldTermStructure > yts, const std::vector< QuantLib::Rate > &cStrikes, const std::vector< QuantLib::Rate > &fStrikes, const std::vector< QuantLib::Period > &cfMaturities, const QuantLib::Matrix &cPrice, const QuantLib::Matrix &fPrice, const boost::shared_ptr< QuantExt::CPICapFloorEngine > &engine, const QuantLib::Date &capFloorStartDate=QuantLib::Date(), bool ignoreMissingPrices=false, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, const QuantLib::VolatilityType &volType=QuantLib::ShiftedLognormal, const double displacement=0.0, const QuantLib::Real &upperVolBound=CPIPriceVolatilitySurfaceDefaultValues::upperVolBound, const QuantLib::Real &lowerVolBound=CPIPriceVolatilitySurfaceDefaultValues::lowerVolBound, const QuantLib::Real &solverTolerance=CPIPriceVolatilitySurfaceDefaultValues::solverTolerance)
LazyObject interface
void	performCalculations () const override
void	update () override
Limits
QuantLib::Real	minStrike () const override
	the minimum strike for which the term structure can return vols
QuantLib::Real	maxStrike () const override
	the maximum strike for which the term structure can return vols
QuantLib::Date	maxDate () const override
	maximum date for which the term structure can return vols
Public Member Functions inherited from CPIVolatilitySurface
	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)
QuantLib::Date	optionDateFromTenor (const QuantLib::Period &tenor) const override
	Computes the expiry date from the capFloorStartDate()
QuantLib::Date	baseDate () const override
	base date will be in the past
QuantLib::VolatilityType	volatilityType () const
	Returns the volatility type.
double	displacement () const
	Returns the displacement for lognormal volatilities.
bool	isLogNormal () const
QuantLib::Volatility	volatility (const QuantLib::Date &maturityDate, QuantLib::Rate strike, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days), bool extrapolate=false) const override
QuantLib::Date	capFloorStartDate () const

Inspectors
const std::vector< QuantLib::Real > &	strikes ()
	Returns the strikes.
const std::vector< QuantLib::Period > &	maturities ()
	Returns the tenors.
const QuantLib::Matrix &	volData () const
const std::vector< std::vector< bool > > &	missingValues () const
const std::vector< std::vector< bool > > &	pricesFailedToConvert () const
double	baseCPI () const
	CPI fixing on the baseDate of the surface.
double	atmGrowth (QuantLib::Period &tenor) const
double	atmGrowth (const QuantLib::Date &date) const
QuantLib::Real	atmStrike (const QuantLib::Date &maturity, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days)) const override

Additional Inherited Members
Protected Member Functions inherited from CPIVolatilitySurface
virtual double	fixingTime (const QuantLib::Date &maturityDate) const
	Computes the expiry time from the capFloorStartDate()
Protected Attributes inherited from CPIVolatilitySurface
QuantLib::VolatilityType	volType_
double	displacement_

Detailed Description

template<class InterpolatorStrike, class InterpolatorTime>
class QuantExt::CPIPriceVolatilitySurface< InterpolatorStrike, InterpolatorTime >

Stripped zero inflation volatility structure.

The surface provides implied CPI Black volatilities for the union of strikes that occur in the underlying cap and floor price surface.

The type argument determines which kind of price quotes are used with priority when there is an overlap, i.e. strikes for which we have both cap and floor quotes: If type is Cap: Use cap quotes where available, floor quotes otherwise If type is Floor: Use floor quotes where available, cap quotes otherwise If type is CapFloor: In case of overlap, use floor quotes up to the ATM strike, cap quotes for strikes beyond ATM