Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity). More...
#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
Public Member Functions | |
CPICapFloorTermPriceSurface (Real nominal, Real baseRate, const Period &observationLag, const Calendar &cal, const BusinessDayConvention &bdc, const DayCounter &dc, const Handle< ZeroInflationIndex > &zii, const Handle< YieldTermStructure > &yts, const std::vector< Rate > &cStrikes, const std::vector< Rate > &fStrikes, const std::vector< Period > &cfMaturities, const Matrix &cPrice, const Matrix &fPrice) | |
Handle< ZeroInflationIndex > | zeroInflationIndex () const |
is based on | |
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 const Matrix & | capPrices () const |
virtual const Matrix & | floorPrices () const |
virtual Rate | minStrike () const |
virtual Rate | maxStrike () const |
virtual Date | minDate () const |
virtual Date | maxDate () const |
the latest date for which the curve can return values | |
virtual Date | cpiOptionDateFromTenor (const Period &p) const |
InflationTermStructure interface | |
Period | observationLag () const |
Date | baseDate () const |
minimum (base) date More... | |
virtual Real | nominal () const |
inspectors More... | |
virtual BusinessDayConvention | businessDayConvention () const |
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 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 |
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void | setSeasonality (const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) |
Functions to set and get seasonality. More... | |
boost::shared_ptr< Seasonality > | seasonality () const |
bool | hasSeasonality () const |
InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
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 boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
virtual Frequency | frequency () const |
virtual bool | indexIsInterpolated () const |
virtual Rate | baseRate () const |
virtual Handle< YieldTermStructure > | nominalTermStructure () const |
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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 DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Time | timeFromReference (const Date &date) const |
date/time conversion | |
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 () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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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) |
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virtual void | setBaseRate (const Rate &r) |
void | checkRange (const Date &, bool extrapolate) const |
void | checkRange (Time t, bool extrapolate) const |
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void | checkRange (const Date &d, bool extrapolate) const |
date-range check | |
void | checkRange (Time t, bool extrapolate) const |
time-range check | |
Protected Attributes | |
Handle< ZeroInflationIndex > | zii_ |
std::vector< Rate > | cStrikes_ |
std::vector< Rate > | fStrikes_ |
std::vector< Period > | cfMaturities_ |
std::vector< Real > | cfMaturityTimes_ |
Matrix | cPrice_ |
Matrix | fPrice_ |
std::vector< Rate > | cfStrikes_ |
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boost::shared_ptr< Seasonality > | seasonality_ |
Period | observationLag_ |
Frequency | frequency_ |
bool | indexIsInterpolated_ |
Rate | baseRate_ |
Handle< YieldTermStructure > | nominalTermStructure_ |
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bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity).
The inflation index MUST contain a ZeroInflationTermStructure as this is used to create ATM. Unlike YoY price surfaces we assume that 1) an ATM ZeroInflationTermStructure is available and 2) that it is safe to use it. This is supported by the fact that no stripping is required for CPI cap/floors as they only give one flow.
cpi cap/floors have a single (one) flow (unlike nominal caps) because they observe cumulative inflation up to their maturity. Options are on CPI(T)/CPI(0) but strikes are quoted for yearly average inflation, so require transformation via (1+quote)^T to obtain actual strikes. These are consistent with ZCIIS quoting conventions.
The observationLag is that for the referenced instrument prices. Strikes are as-quoted not as-used.
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The TS observes with a lag that is usually different from the availability lag of the index. An inflation rate is given, by default, for the maturity requested assuming this lag.
Reimplemented from InflationTermStructure.
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minimum (base) date
Important in inflation since it starts before nominal reference date. Changes depending whether index is interpolated or not. When interpolated the base date is just observation lag before nominal. When not interpolated it is the beginning of the relevant period (hence it is easy to create interpolated fixings from a not-interpolated curve because interpolation, usually, of fixings is forward looking).
Implements InflationTermStructure.
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inspectors