SpreadedCPIVolatilitySurface Class Reference

Inheritance diagram for SpreadedCPIVolatilitySurface:

Public Member Functions
	SpreadedCPIVolatilitySurface (const Handle< QuantExt::CPIVolatilitySurface > &baseVol, const std::vector< Date > &optionDates, const std::vector< Real > &strikes, const std::vector< std::vector< Handle< Quote > > > &volSpreads)
Rate	minStrike () const override
Rate	maxStrike () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
void	update () override
void	deepUpdate () 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

Protected Member Functions
Volatility	volatilityImpl (Time length, Rate strike) const override
void	performCalculations () const override
Protected Member Functions inherited from CPIVolatilitySurface
virtual double	fixingTime (const QuantLib::Date &maturityDate) const
	Computes the expiry time from the capFloorStartDate().

Additional Inherited Members
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.