Abstract base class, inheriting from InflationTermStructure. More...

#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>

Inheritance diagram for YoYCapFloorTermPriceSurface:

Public Member Functions
	YoYCapFloorTermPriceSurface (Natural fixingDays, const Period &yyLag, const ext::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 More...

virtual std::pair< std::vector< Date >, std::vector< Rate > >	atmYoYSwapDateRates () const =0

virtual ext::shared_ptr< YoYInflationTermStructure >	YoYTS () const =0
	derived from yoy swap rates

ext::shared_ptr< YoYInflationIndex >	yoyIndex () const
	index yoy is based on

virtual BusinessDayConvention	businessDayConvention () const
	inspectors More...

virtual Natural	fixingDays () const

virtual Real	price (const Date &d, Rate k) const =0

virtual Real	capPrice (const Date &d, Rate k) const =0

virtual Real	floorPrice (const Date &d, 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, Rate k) const

virtual Real	capPrice (const Period &d, Rate k) const

virtual Real	floorPrice (const Period &d, 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

virtual Date	yoyOptionDateFromTenor (const Period &p) const

Public Member Functions inherited from InflationTermStructure
	InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())

	InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())

	InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())

QL_DEPRECATED	InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())

QL_DEPRECATED	InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())

QL_DEPRECATED	InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())

virtual Period	observationLag () const

virtual Frequency	frequency () const

virtual bool	indexIsInterpolated () const

virtual Rate	baseRate () const

virtual Handle< YieldTermStructure >	nominalTermStructure () const

virtual Date	baseDate () const =0
	minimum (base) date More...

void	setSeasonality (const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
	Functions to set and get seasonality. More...

ext::shared_ptr< Seasonality >	seasonality () const

bool	hasSeasonality () const

Public Member Functions inherited from TermStructure
	TermStructure (const DayCounter &dc=DayCounter())
	default constructor More...

	TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter())
	initialize with a fixed reference date

	TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date

virtual	~TermStructure ()

virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion

Time	timeFromReference (const Date &date) const
	date/time conversion

virtual Date	maxDate () const =0
	the latest date for which the curve can return values

virtual Time	maxTime () const
	the latest time for which the curve can return values

virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0

virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation

virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation

void	update ()

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (const Observer &)

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Public Member Functions inherited from Extrapolator
void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled

Protected Member Functions
virtual bool	checkStrike (Rate K)

virtual bool	checkMaturity (const Date &d)

Protected Member Functions inherited from InflationTermStructure
virtual void	setBaseRate (const Rate &r)

void	checkRange (const Date &, bool extrapolate) const

void	checkRange (Time t, bool extrapolate) const

Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check

void	checkRange (Time t, bool extrapolate) const
	time-range check

Protected Attributes
Natural	fixingDays_

BusinessDayConvention	bdc_

ext::shared_ptr< YoYInflationIndex >	yoyIndex_

Handle< YieldTermStructure >	nominalTS_

std::vector< Rate >	cStrikes_

std::vector< Rate >	fStrikes_

std::vector< Period >	cfMaturities_

std::vector< Real >	cfMaturityTimes_

Matrix	cPrice_

Matrix	fPrice_

std::vector< Rate >	cfStrikes_

ext::shared_ptr< YoYInflationTermStructure >	yoy_

std::pair< std::vector< Time >, std::vector< Rate > >	atmYoYSwapTimeRates_

std::pair< std::vector< Date >, std::vector< Rate > >	atmYoYSwapDateRates_

Protected Attributes inherited from InflationTermStructure
ext::shared_ptr< Seasonality >	seasonality_

Period	observationLag_

Frequency	frequency_

bool	indexIsInterpolated_

Rate	baseRate_

Handle< YieldTermStructure >	nominalTermStructure_

Protected Attributes inherited from TermStructure
bool	moving_

bool	updated_

Calendar	calendar_

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type

typedef set_type::iterator	iterator

Detailed Description

Abstract base class, inheriting from InflationTermStructure.

Since this can create a yoy term structure it does take a YoY index.

Member Function Documentation

◆ atmYoYSwapTimeRates()

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.

◆ businessDayConvention()

virtual BusinessDayConvention businessDayConvention ( ) const

virtual

inspectors

Note: you don't know if price() is a cap or a floor without checking the YoYSwapATM level.; atm cap/floor prices are generally inaccurate because they are from extrapolation and intersection.

Public Member Functions

Protected Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ atmYoYSwapTimeRates()

◆ businessDayConvention()