CPIVolatilitySurface Class Reference

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

Inheritance diagram for CPIVolatilitySurface:

Public Member Functions
	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
virtual QuantLib::Real	atmStrike (const QuantLib::Date &maturity, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days)) const =0
QuantLib::Date	capFloorStartDate () const

Protected Member Functions
virtual double	fixingTime (const QuantLib::Date &maturityDate) const
	Computes the expiry time from the capFloorStartDate()

Protected Attributes
QuantLib::VolatilityType	volType_
double	displacement_

Detailed Description

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.

Constructor & Destructor Documentation

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
	)

the capfloor startdate is the start date of the quoted market instruments, usually its today, but it could be in the future (e.g. AUCPI)