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QuantLib_YoYInflationCapFloor

NAME

QuantLib::YoYInflationCapFloor -

Base class for yoy inflation cap-like instruments.

SYNOPSIS

#include <ql/instruments/inflationcapfloor.hpp>

Inherits QuantLib::Instrument.

Inherited by YoYInflationCap, YoYInflationCollar, and YoYInflationFloor.

Classes

class arguments
Arguments for YoY Inflation cap/floor calculation
class engine
base class for cap/floor engines

Public Types

enum Type { Cap, Floor, Collar }

Public Member Functions

YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates)

YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &strikes)

virtual Rate atmRate (const YieldTermStructure &discountCurve) const

virtual Volatility impliedVolatility (Real price, const Handle< YoYInflationTermStructure > &yoyCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
implied term volatility

Instrument interface

 

bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const

Inspectors

 

Type type () const

const std::vector< Rate > & capRates () const

const std::vector< Rate > & floorRates () const

const Leg & yoyLeg () const

Date startDate () const

Date maturityDate () const

boost::shared_ptr< YoYInflationCoupon > lastYoYInflationCoupon () const

boost::shared_ptr< YoYInflationCapFloor > optionlet (const Size n) const
Returns the n-th optionlet as a cap/floor with only one cash flow.

Detailed Description

Base class for yoy inflation cap-like instruments.

Note that the standard YoY inflation cap/floor defined here is different from nominal, because in nominal world standard cap/floors do not have the first optionlet. This is because they set in advance so there is no point. However, yoy inflation generally sets (effectively) in arrears, (actually in arrears vs lag of a few months) thus the first optionlet is relevant. Hence we can do a parity test without a special definition of the YoY cap/floor instrument.

Tests

*

the relationship between the values of caps, floors and the resulting collars is checked.

*

the put-call parity between the values of caps, floors and swaps is checked.

*

the correctness of the returned value is tested by checking it against a known good value.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Author

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