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QuantLib_InterpolatedYoYOptionletVolatilityCurve
Langue: en
Version: 380634 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::InterpolatedYoYOptionletVolatilityCurve -Interpolated flat smile surface.
SYNOPSIS
#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>
Inherits QuantLib::YoYOptionletVolatilitySurface.
Public Member Functions
Constructor
InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &d, const std::vector< Volatility > &v, Rate minStrike, Rate maxStrike, const Interpolator1D &interpolator=Interpolator1D())
calculate the reference date based on the global evaluation date
Limits
virtual Real minStrike () const
the minimum strike for which the term structure can return vols
virtual Real maxStrike () const
the maximum strike for which the term structure can return vols
virtual Date maxDate () const
the latest date for which the curve can return values
Bootstrap interface
virtual const std::vector< Time > & times () const
virtual const std::vector< Date > & dates () const
virtual const std::vector< Real > & data () const
virtual std::vector< std::pair< Date, Real > > nodes () const
Protected Member Functions
InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate minStrike, Rate maxStrike, Volatility baseYoYVolatility, const Interpolator1D &interpolator=Interpolator1D())
virtual Volatility volatilityImpl (Time length, Rate strike) const
implements the actual volatility calculation in derived classes
Protected Attributes
std::vector< Date > dates_
std::vector< Time > times_
std::vector< Real > data_
std::vector< std::pair< Date, Real > > nodes_
Interpolator1D interpolator_
Interpolation interpolation_
Rate minStrike_
Rate maxStrike_
Detailed Description
template<class Interpolator1D> class QuantLib::InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >
Interpolated flat smile surface.Interpolated in T direction and constant in K direction.
Constructor & Destructor Documentation
InterpolatedYoYOptionletVolatilityCurve (Natural settlementDays, const Calendar & cal, BusinessDayConvention bdc, const DayCounter & dc, const Period & lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > & d, const std::vector< Volatility > & v, Rate minStrike, Rate maxStrike, const Interpolator1D & interpolator = Interpolator1D())
calculate the reference date based on the global evaluation date The dates are those of the volatility ... there is no lag on the dates but they are relative to a start date earlier than the reference date as always for inflation.
Member Function Documentation
Volatility volatilityImpl (Time length, Rate strike) const [protected, virtual]
implements the actual volatility calculation in derived classes For the curve strike is ignored because the smile is (can only be) flat.
Implements YoYOptionletVolatilitySurface.
Author
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