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 |
Abstract base class, inheriting from InflationTermStructure.
Since this can create a yoy term structure it does take a YoY index.
atm yoy swaps from put-call parity on cap/floor data
uses interpolation (on surface price data), yearly maturities.
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inspectors