InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D > Class Template Reference

Interpolated YoY Inflation Cap floor term price surface. More...

#include <qle/termstructures/interpolatedyoycapfloortermpricesurface.hpp>

Inheritance diagram for InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >:

Public Member Functions
	InterpolatedYoYCapFloorTermPriceSurface (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, const Interpolator2D &interpolator2d=Interpolator2D(), const Interpolator1D &interpolator1d=Interpolator1D())
virtual Date	maxDate () const override
	inflation term structure interface
virtual Date	baseDate () const override
virtual Natural	fixingDays () const override
YoYCapFloorTermPriceSurface interface
virtual std::pair< std::vector< Time >, std::vector< Rate > >	atmYoYSwapTimeRates () const override
virtual std::pair< std::vector< Date >, std::vector< Rate > >	atmYoYSwapDateRates () const override
virtual boost::shared_ptr< YoYInflationTermStructure >	YoYTS () const override
virtual Rate	price (const Date &d, const Rate k) const override
virtual Real	floorPrice (const Date &d, const Rate k) const override
virtual Real	capPrice (const Date &d, const Rate k) const override
virtual Rate	atmYoYSwapRate (const Date &d, bool extrapolate=true) const override
virtual Rate	atmYoYRate (const Date &d, const Period &obsLag=Period(-1, Days), bool extrapolate=true) const override

LazyObject interface
Matrix	cPriceB_
Matrix	fPriceB_
Interpolation2D	capPrice_
Interpolation2D	floorPrice_
Interpolator2D	interpolator2d_
Interpolation	atmYoYSwapRateCurve_
Interpolator1D	interpolator1d_
void	update () override
void	performCalculations () const
void	setMaturities (std::vector< Period > &overrideMaturities)
void	calculateYoYTermStructure () const

Detailed Description

template<class Interpolator2D, class Interpolator1D>
class QuantExt::InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >

Interpolated YoY Inflation Cap floor term price surface.