InterpolatedYoYOptionletVolatilityCurve<Interpolator1D>::
InterpolatedYoYOptionletVolatilityCurve(Natural settlementDays,
const Calendar &cal,
BusinessDayConvention bdc,
const DayCounter& dc,
const Period &lag,
Frequency frequency,
bool indexIsInterpolated,
const std::vector<Date> &d,
const std::vector<Volatility> &v,
Rate minStrike,
Rate maxStrike,
const Interpolator1D &i)
: YoYOptionletVolatilitySurface(settlementDays, cal, bdc, dc, lag,
frequency, indexIsInterpolated),
InterpolatedCurve<Interpolator1D>(i),
dates_(d), minStrike_(minStrike), maxStrike_(maxStrike) {
QL_REQUIRE(d.size() == v.size(),
"must have same number of dates and vols: "
<< d.size() << " vs " << v.size());
QL_REQUIRE(d.size() > 1,
"must have at least two dates: " << d.size());
for (Size i = 0; i < d.size(); i++ ){
this->times_.push_back( this->timeFromReference(dates_[i]) );
this->data_.push_back(v[i]),
nodes_.push_back( std::make_pair( dates_[i], this->data_[i]) );
}
this->setupInterpolation();
// set the base vol level to that predicted by the interpolation
// this is allowed by the extrapolation
Time baseTime = this->timeFromReference(baseDate());
setBaseLevel(this->interpolation_(baseTime,true));
}
void InflationTermStructure::checkRange(Time t,
bool extrapolate) const {
QL_REQUIRE(t >= timeFromReference(baseDate()),
"time (" << t << ") is before base date");
QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(),
"time (" << t << ") is past max curve time ("
<< maxTime() << ")");
}
void InflationTermStructure::checkRange(const Date& d,
bool extrapolate) const {
QL_REQUIRE(d >= baseDate(),
"date (" << d << ") is before base date");
QL_REQUIRE(extrapolate || allowsExtrapolation() || d <= maxDate(),
"date (" << d << ") is past max curve date ("
<< maxDate() << ")");
}
void YoYOptionletVolatilitySurface::checkRange(Time t, Rate strike,
bool extrapolate) const {
QL_REQUIRE(t >= timeFromReference(baseDate()),
"time (" << t << ") is before base date");
QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(),
"time (" << t << ") is past max curve time ("
<< maxTime() << ")");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
(strike >= minStrike() && strike <= maxStrike()),
"strike (" << strike << ") is outside the curve domain ["
<< minStrike() << "," << maxStrike()<< "] at time = " << t);
}
void YoYOptionletVolatilitySurface::checkRange(const Date& d, Rate strike,
bool extrapolate) const {
QL_REQUIRE(d >= baseDate(),
"date (" << d << ") is before base date");
QL_REQUIRE(extrapolate || allowsExtrapolation() || d <= maxDate(),
"date (" << d << ") is past max curve date ("
<< maxDate() << ")");
QL_REQUIRE(extrapolate || allowsExtrapolation() ||
(strike >= minStrike() && strike <= maxStrike()),
"strike (" << strike << ") is outside the curve domain ["
<< minStrike() << "," << maxStrike()<< "]] at date = " << d);
}
//! needed for total variance calculations
Time
YoYOptionletVolatilitySurface::timeFromBase(const Date &maturityDate,
const Period& obsLag) const {
Period useLag = obsLag;
if (obsLag==Period(-1,Days)) {
useLag = observationLag();
}
Date useDate;
if (indexIsInterpolated()) {
useDate = maturityDate - useLag;
} else {
useDate = inflationPeriod(maturityDate - useLag,
frequency()).first;
}
// This assumes that the inflation term structure starts
// as late as possible given the inflation index definition,
// which is the usual case.
return dayCounter().yearFraction(baseDate(), useDate);
}
