Abstract base class, inheriting from InflationTermStructure. More...
#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>
Public Member Functions | |
YoYCapFloorTermPriceSurface (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) | |
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 boost::shared_ptr< YoYInflationTermStructure > | YoYTS () const =0 |
derived from yoy swap rates | |
boost::shared_ptr< YoYInflationIndex > | yoyIndex () const |
index yoy is based on | |
virtual Date | yoyOptionDateFromTenor (const Period &p) const |
virtual BusinessDayConvention | businessDayConvention () const |
inspectors More... | |
virtual Natural | fixingDays () const |
virtual Real | price (const Date &d, const Rate k) const =0 |
virtual Real | capPrice (const Date &d, const Rate k) const =0 |
virtual Real | floorPrice (const Date &d, const 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, const Rate k) const |
virtual Real | capPrice (const Period &d, const Rate k) const |
virtual Real | floorPrice (const Period &d, const 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 |
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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 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... | |
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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 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 () |
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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 | |
Natural | fixingDays_ |
BusinessDayConvention | bdc_ |
boost::shared_ptr< YoYInflationIndex > | yoyIndex_ |
std::vector< Rate > | cStrikes_ |
std::vector< Rate > | fStrikes_ |
std::vector< Period > | cfMaturities_ |
std::vector< Real > | cfMaturityTimes_ |
Matrix | cPrice_ |
Matrix | fPrice_ |
std::vector< Rate > | cfStrikes_ |
boost::shared_ptr< YoYInflationTermStructure > | yoy_ |
std::pair< std::vector< Time >, std::vector< Rate > > | atmYoYSwapTimeRates_ |
std::pair< std::vector< Date >, std::vector< Rate > > | atmYoYSwapDateRates_ |
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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 |
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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virtual |
inspectors