ConstantCPIVolatility Class Reference

Inheritance diagram for ConstantCPIVolatility:

Public Member Functions
	ConstantCPIVolatility (QuantLib::Volatility v, QuantLib::Natural settlementDays, const QuantLib::Calendar &, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const QuantLib::Period &observationLag, QuantLib::Frequency frequency, bool indexIsInterpolated, const QuantLib::Date &capFloorStartDate=QuantLib::Date(), QuantLib::VolatilityType volType=QuantLib::ShiftedLognormal, double displacement=0.0)
QuantLib::Date	maxDate () const override
QuantLib::Real	minStrike () const override
QuantLib::Real	maxStrike () const override
QuantLib::Real	atmStrike (const QuantLib::Date &maturity, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days)) const override
Public Member Functions inherited from CPIVolatilitySurface
	CPIVolatilitySurface (QuantLib::Natural settlementDays, const QuantLib::Calendar &, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc, const QuantLib::Period &observationLag, QuantLib::Frequency frequency, bool indexIsInterpolated, const QuantLib::Date &capFloorStartDate=QuantLib::Date(), QuantLib::VolatilityType volType=QuantLib::ShiftedLognormal, double displacement=0.0)
QuantLib::Date	optionDateFromTenor (const QuantLib::Period &tenor) const override
	Computes the expiry date from the capFloorStartDate().
QuantLib::Date	baseDate () const override
	base date will be in the past
QuantLib::VolatilityType	volatilityType () const
	Returns the volatility type.
double	displacement () const
	Returns the displacement for lognormal volatilities.
bool	isLogNormal () const
QuantLib::Volatility	volatility (const QuantLib::Date &maturityDate, QuantLib::Rate strike, const QuantLib::Period &obsLag=QuantLib::Period(-1, QuantLib::Days), bool extrapolate=false) const override
QuantLib::Date	capFloorStartDate () const

Additional Inherited Members
Protected Member Functions inherited from CPIVolatilitySurface
virtual double	fixingTime (const QuantLib::Date &maturityDate) const
	Computes the expiry time from the capFloorStartDate().
Protected Attributes inherited from CPIVolatilitySurface
QuantLib::VolatilityType	volType_
double	displacement_

Member Function Documentation

atmStrike()

QuantLib::Real atmStrike ( const QuantLib::Date & maturity, const QuantLib::Period & obsLag = QuantLib::Period(-1, QuantLib::Days) ) const

overridevirtual

Implements CPIVolatilitySurface.