1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009, 2011 Chris Kenyon
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file cpivolatilitystructure.hpp
\brief zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
*/
#ifndef quantlib_cpi_volatility_structure_hpp
#define quantlib_cpi_volatility_structure_hpp
#include <ql/termstructures/voltermstructure.hpp>
namespace QuantLib {
//! zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
/*! Abstract interface. CPI volatility is always with respect to
some base date. Also deal with lagged observations of an index
with a (usually different) availability lag.
*/
class CPIVolatilitySurface : public VolatilityTermStructure {
public:
/*! calculates the reference date based on the global
evaluation date.
*/
CPIVolatilitySurface(Natural settlementDays,
const Calendar&,
BusinessDayConvention bdc,
const DayCounter& dc,
const Period& observationLag,
Frequency frequency,
bool indexIsInterpolated);
//! \name Volatility
/*! by default, inflation is observed with the lag
of the term structure.
Because inflation is highly linked to dates (for
interpolation, periods, etc) time-based overload of the
methods are not provided.
*/
//@{
//! Returns the volatility for a given maturity date and strike rate.
Volatility volatility(const Date& maturityDate,
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(const Period& optionTenor,
Rate strike,
const Period &obsLag = Period(-1,Days),
bool extrapolate = false) const;
/*! Returns the volatility for a given time and strike rate. No adjustments
due to lags and interpolation are applied to the input time. */
Volatility volatility(Time time, Rate strike) const;
//! Returns the total integrated variance for a given exercise
//! date and strike rate.
/*! Total integrated variance is useful because it scales out
t for the optionlet pricing formulae. Note that it is
called "total" because the surface does not know whether
it represents Black, Bachelier or Displaced Diffusion
variance. These are virtual so alternate connections
between const vol and total var are possible.
*/
virtual Volatility totalVariance(const Date& exerciseDate,
Rate strike,
const Period &obsLag = Period(-1,Days),
bool extrapolate = false) const;
//! returns the total integrated variance for a given option
//! tenor and strike rate.
virtual Volatility totalVariance(const Period& optionTenor,
Rate strike,
const Period &obsLag = Period(-1,Days),
bool extrapolate = false) const;
//@}
//! \name Inspectors
//@{
/*! The term structure observes with a lag that is usually
different from the availability lag of the index. An
inflation rate is given, by default, for the maturity
requested assuming this lag.
*/
virtual Period observationLag() const { return observationLag_; }
virtual Frequency frequency() const { return frequency_; }
virtual bool indexIsInterpolated() const {
return indexIsInterpolated_;
}
virtual Date baseDate() const;
//! base date will be in the past because of observation lag
virtual Time timeFromBase(const Date &date,
const Period& obsLag = Period(-1,Days)) const;
// acts as zero time value for boostrapping
virtual Volatility baseLevel() const {
QL_REQUIRE(baseLevel_ != Null<Volatility>(),
"Base volatility, for baseDate(), not set.");
return baseLevel_;
}
//@}
//! \name Limits
//@{
//! the minimum strike for which the term structure can return vols
Real minStrike() const override = 0;
//! the maximum strike for which the term structure can return vols
Real maxStrike() const override = 0;
//@}
protected:
virtual void checkRange(const Date&, Rate strike, bool extrapolate) const;
virtual void checkRange(Time, Rate strike, bool extrapolate) const;
/*! Implements the actual volatility surface calculation in
derived classes e.g. bilinear interpolation. N.B. does
not derive the surface.
*/
virtual Volatility volatilityImpl(Time length,
Rate strike) const = 0;
mutable Volatility baseLevel_;
// so you do not need an index
Period observationLag_;
Frequency frequency_;
bool indexIsInterpolated_;
};
}
#endif
|
