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));
}
InterpolatedYoYOptionletVolatilityCurve<Interpolator1D>::
InterpolatedYoYOptionletVolatilityCurve(Natural settlementDays,
const Calendar &cal,
BusinessDayConvention bdc,
const DayCounter& dc,
const Period &lag,
Frequency frequency,
bool indexIsInterpolated,
Rate minStrike,
Rate maxStrike,
Volatility baseYoYVolatility,
const Interpolator1D &interpolator)
: YoYOptionletVolatilitySurface(settlementDays, cal, bdc, dc, lag,
frequency, indexIsInterpolated),
interpolator_(interpolator), minStrike_(minStrike), maxStrike_(maxStrike) {
// don't have the data yet except for the base volatility
// must set to communicate with bootstrap
setBaseLevel(baseYoYVolatility);
}
