Date
YoYOptionletVolatilitySurface::baseDate() const {
// Depends on interpolation, or not, of observed index
// and observation lag with which it was built.
// We want this to work even if the index does not
// have a yoy term structure.
if (indexIsInterpolated()) {
return referenceDate() - observationLag();
} else {
return inflationPeriod(referenceDate() - observationLag(),
frequency()).first;
}
}
Rate YoYInflationTermStructure::yoyRate(const Date &d, const Period& instObsLag,
bool forceLinearInterpolation,
bool extrapolate) const {
Period useLag = instObsLag;
if (instObsLag == Period(-1,Days)) {
useLag = observationLag();
}
Rate yoyRate;
if (forceLinearInterpolation) {
std::pair<Date,Date> dd = inflationPeriod(d-useLag, frequency());
dd.second = dd.second + Period(1,Days);
Real dp = dd.second - dd.first;
Real dt = (d-useLag) - dd.first;
// if we are interpolating we only check the exact point
// this prevents falling off the end at curve maturity
InflationTermStructure::checkRange(d, extrapolate);
Time t1 = timeFromReference(dd.first);
Time t2 = timeFromReference(dd.second);
Rate y1 = yoyRateImpl(t1);
Rate y2 = yoyRateImpl(t2);
yoyRate = y1 + (y2-y1) * (dt/dp);
} else {
if (indexIsInterpolated()) {
InflationTermStructure::checkRange(d-useLag, extrapolate);
Time t = timeFromReference(d-useLag);
yoyRate = yoyRateImpl(t);
} else {
std::pair<Date,Date> dd = inflationPeriod(d-useLag, frequency());
InflationTermStructure::checkRange(dd.first, extrapolate);
Time t = timeFromReference(dd.first);
yoyRate = yoyRateImpl(t);
}
}
if (hasSeasonality()) {
yoyRate = seasonality()->correctYoYRate(d-useLag, yoyRate, *this);
}
return yoyRate;
}
Volatility
YoYOptionletVolatilitySurface::volatility(const Date& maturityDate,
Rate strike,
const Period &obsLag,
bool extrapolate) const {
Period useLag = obsLag;
if (obsLag==Period(-1,Days)) {
useLag = observationLag();
}
if (indexIsInterpolated()) {
YoYOptionletVolatilitySurface::checkRange(maturityDate-useLag, strike, extrapolate);
Time t = timeFromReference(maturityDate-useLag);
return volatilityImpl(t,strike);
} else {
std::pair<Date,Date> dd = inflationPeriod(maturityDate-useLag, frequency());
YoYOptionletVolatilitySurface::checkRange(dd.first, strike, extrapolate);
Time t = timeFromReference(dd.first);
return volatilityImpl(t,strike);
}
}
//! 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);
}
