CPIVolatilitySurface Class Reference

### A free/open-source library for quantitative finance

Public Member Functions | Protected Member Functions | Protected Attributes
CPIVolatilitySurface Class Reference

zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures More...

`#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>`

Inheritance diagram for CPIVolatilitySurface:
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List of all members.

## Public Member Functions
| CPIVolatilitySurface (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc, const Period &observationLag, Frequency frequency, bool indexIsInterpolated)
Volatility
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
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
Inspectors
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
Limits
virtual Real | minStrike () const =0
| the minimum strike for which the term structure can return vols
virtual Real | maxStrike () const =0
| the maximum strike for which the term structure can return vols
## Protected Member Functions
virtual void | checkRange (const Date &, Rate strike, bool extrapolate) const
virtual void | checkRange (Time, Rate strike, bool extrapolate) const
virtual Volatility | volatilityImpl (Time length, Rate strike) const =0
## Protected Attributes
Volatility | baseLevel_
Period | observationLag_
Frequency | frequency_
bool | indexIsInterpolated_

## Detailed Description

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.

## Constructor & Destructor Documentation

CPIVolatilitySurface | ( | Natural | settlementDays,
|  | const Calendar & | ,
|  | BusinessDayConvention | bdc,
|  | const DayCounter & | dc,
|  | const Period & | observationLag,
|  | Frequency | frequency,
|  | bool | indexIsInterpolated
| ) |  |

calculates the reference date based on the global evaluation date.

## Member Function Documentation

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.

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.

virtual Volatility totalVariance | ( | const Date & | exerciseDate,
|  | Rate | strike,
|  | const Period & | obsLag = `Period(-1, Days)`,
|  | bool | extrapolate = `false`
| ) |  | const`[virtual]`

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 Period & | optionTenor,
|  | Rate | strike,
|  | const Period & | obsLag = `Period(-1, Days)`,
|  | bool | extrapolate = `false`
| ) |  | const`[virtual]`

returns the total integrated variance for a given option tenor and strike rate.

virtual Period observationLag | ( |  | ) | const`[virtual]`

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 Volatility volatilityImpl | ( | Time | length,
|  | Rate | strike
| ) |  | const`[protected, pure virtual]`

Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.