ConstantCPIVolatility Class Reference

Constant surface, no K or T dependence. More...

#include <ql/termstructures/volatility/inflation/constantcpivolatility.hpp>

Inheritance diagram for ConstantCPIVolatility:

Public Member Functions
Constructors
	ConstantCPIVolatility (const Handle< Quote > &vol, Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated)
	ConstantCPIVolatility (Volatility vol, Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated)
Public Member Functions inherited from CPIVolatilitySurface
	CPIVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated)
Volatility	volatility (const Date &maturityDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
	Returns the volatility for a given maturity date and strike rate.
Volatility	volatility (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
	returns the volatility for a given option tenor and strike rate
Volatility	volatility (Time time, Rate strike) const
virtual Volatility	totalVariance (const Date &exerciseDate, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
virtual Volatility	totalVariance (const Period &optionTenor, Rate strike, const Period &obsLag=Period(-1, Days), bool extrapolate=false) const
virtual Period	observationLag () const
virtual Frequency	frequency () const
virtual bool	indexIsInterpolated () const
virtual Date	baseDate () const
virtual Time	timeFromBase (const Date &date, const Period &obsLag=Period(-1, Days)) const
	base date will be in the past because of observation lag
virtual Volatility	baseLevel () const
	VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	initialize with a fixed reference date
	VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
	calculate the reference date based on the global evaluation date
virtual BusinessDayConvention	businessDayConvention () const
	the business day convention used in tenor to date conversion
Date	optionDateFromTenor (const Period &) const
	period/date conversion
Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, Calendar, 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 () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
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

Limits
Date	maxDate () const override
	the latest date for which the curve can return values
Real	minStrike () const override
	the minimum strike for which the term structure can return vols
Real	maxStrike () const override
	the maximum strike for which the term structure can return vols

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
virtual void	checkRange (const Date &, Rate strike, bool extrapolate) const
virtual void	checkRange (Time, Rate strike, bool extrapolate) const
void	checkStrike (Rate strike, bool extrapolate) const
	strike-range check
void	checkRange (const Date &d, bool extrapolate) const
	date-range check
void	checkRange (Time t, bool extrapolate) const
	time-range check
Volatility	baseLevel_
Period	observationLag_
Frequency	frequency_
bool	indexIsInterpolated_
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

Constant surface, no K or T dependence.

Member Function Documentation

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

minStrike()

Real minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements CPIVolatilitySurface.

maxStrike()

Real maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements CPIVolatilitySurface.