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QuantLib_PiecewiseYoYOptionletVolatilityCurve

NAME

QuantLib::PiecewiseYoYOptionletVolatilityCurve -

Piecewise year-on-year inflation volatility term structure.

SYNOPSIS

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

Inherits InterpolatedYoYOptionletVolatilityCurve< Interpolator >, and QuantLib::LazyObject.

Public Types

typedef Traits traits_type

typedef Interpolator interpolator_type

Public Member Functions

PiecewiseYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, Real accuracy=1.0e-12, const Interpolator &interpolator=Interpolator())

Inflation interface

 

Date baseDate () const

Date maxDate () const

Inspectors

 

const std::vector< Time > & times () const

const std::vector< Date > & dates () const

const std::vector< Real > & data () const

std::vector< std::pair< Date, Real > > nodes () const

Observer interface

 

void update ()

Friends

class Bootstrap< this_curve >

class BootstrapError< this_curve >

Detailed Description

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = YoYInflationVolatilityTraits> class QuantLib::PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >

Piecewise year-on-year inflation volatility term structure.

We use a flat smile for bootstrapping at constant K. Happily most of the work has already been done in the bootstrapping classes. We only need to add special attention for the start where there is usually no data, only assumptions.

Member Function Documentation

void update () [virtual]This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.

Author

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