CPICapFloorTermPriceSurface

Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity).

The inflation index MUST contain a ZeroInflationTermStructure as this is used to create ATM. Unlike YoY price surfaces we assume that 1) an ATM ZeroInflationTermStructure is available and 2) that it is safe to use it. This is supported by the fact that no stripping is required for CPI cap/floors as they only give one flow.

cpi cap/floors have a single (one) flow (unlike nominal caps) because they observe cumulative inflation up to their maturity. Options are on CPI(T)/CPI(0) but strikes are quoted for yearly average inflation, so require transformation via (1+quote)^T to obtain actual strikes. These are consistent with ZCIIS quoting conventions.

The observationLag is that for the referenced instrument prices. Strikes are as-quoted not as-used.

Hierarchy

InflationTermStructure
- CPICapFloorTermPriceSurface
  - InterpolatedCPICapFloorTermPriceSurface

Implements

Index

Properties

Methods

Properties

_baseRate

_baseRate: Rate

Private _bdc

_bdc: BusinessDayConvention

Protected _cPrice

_cPrice: Matrix

Protected _cStrikes

_cStrikes: Rate[]

_calendar

_calendar: Calendar

Protected _cfMaturities

_cfMaturities: Period[]

Protected _cfMaturityTimes

_cfMaturityTimes: Real[]

Protected _cfStrikes

_cfStrikes: Rate[]

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

Protected _fPrice

_fPrice: Matrix

Protected _fStrikes

_fStrikes: Rate[]

_frequency

_frequency: Frequency

_indexIsInterpolated

_indexIsInterpolated: boolean

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

Private _nominal

_nominal: Real

_nominalTermStructure

_nominalTermStructure: Handle<YieldTermStructure>

_observables

_observables: Set<Observable> = new Set()

_observationLag

_observationLag: Period

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_seasonality

_seasonality: Seasonality

_settlementDays

_settlementDays: Natural

_updated

_updated: boolean

Protected _zii

_zii: Handle<ZeroInflationIndex>

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

- (): boolean
- Returns boolean

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

disableExtrapolation

disableExtrapolation: (b?: boolean) => void

Type declaration

- (b?: boolean): void
- Parameters
  - Optional b: boolean
  Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

enableExtrapolation

enableExtrapolation: (b?: boolean) => void

Type declaration

- (b?: boolean): void
- Parameters
  - Optional b: boolean
  Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

baseDate

baseDate(): Date

Overrides InflationTermStructure.baseDate
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:167
Returns Date

baseRate

baseRate(): Rate

Inherited from InflationTermStructure.baseRate
- Defined in ql/termstructures/inflationtermstructure.ts:100
Returns Rate

businessDayConvention

businessDayConvention(): BusinessDayConvention

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:183
Returns BusinessDayConvention

calendar

calendar(): Calendar

Inherited from TermStructure.calendar
- Defined in ql/termstructure.ts:151
the calendar used for reference and/or option date calculation

Returns Calendar

capPrice1

capPrice1(d: Period, k: Rate): Real

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:191
Parameters
- d: Period
- k: Rate
Returns Real

capPrice2

capPrice2(d: Date, k: Rate): Real

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:203
Parameters
- d: Date
- k: Rate
Returns Real

capPrices

capPrices(): Matrix

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:227
Returns Matrix

capStrikes

capStrikes(): Rate[]

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:215
Returns Rate[]

Protected checkMaturity

checkMaturity(d: Date): boolean

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:262
Parameters
- d: Date
Returns boolean

checkRange1

checkRange1(d: Date, extrapolate: boolean): void

Inherited from InflationTermStructure.checkRange1

Overrides TermStructure.checkRange1
- Defined in ql/termstructures/inflationtermstructure.ts:159
Parameters
- d: Date
- extrapolate: boolean
Returns void

checkRange2

checkRange2(t: Time, extrapolate: boolean): void

Inherited from InflationTermStructure.checkRange2

Overrides TermStructure.checkRange2
- Defined in ql/termstructures/inflationtermstructure.ts:169
Parameters
- t: Time
- extrapolate: boolean
Returns void

Protected checkStrike

checkStrike(K: Rate): boolean

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:258
Parameters
- K: Rate
Returns boolean

cpiOptionDateFromTenor

cpiOptionDateFromTenor(p: Period): Date

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:252
Parameters
- p: Period
Returns Date

cpicftpsInit

cpicftpsInit(nominal: Real, baseRate: Real, observationLag: Period, cal: Calendar, bdc: BusinessDayConvention, dc: DayCounter, zii: Handle<ZeroInflationIndex>, yts: Handle<YieldTermStructure>, cStrikes: Rate[], fStrikes: Rate[], cfMaturities: Period[], cPrice: Matrix, fPrice: Matrix): CPICapFloorTermPriceSurface

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:47
Parameters
- nominal: Real
- baseRate: Real
- observationLag: Period
- cal: Calendar
- bdc: BusinessDayConvention
- dc: DayCounter
- zii: Handle<ZeroInflationIndex>
- yts: Handle<YieldTermStructure>
- cStrikes: Rate[]
- fStrikes: Rate[]
- cfMaturities: Period[]
- cPrice: Matrix
- fPrice: Matrix
Returns CPICapFloorTermPriceSurface

dayCounter

dayCounter(): DayCounter

Inherited from TermStructure.dayCounter
- Defined in ql/termstructure.ts:120
the day counter used for date/time conversion

Returns DayCounter

floorPrice1

floorPrice1(d: Period, k: Rate): Real

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:195
Parameters
- d: Period
- k: Rate
Returns Real

floorPrice2

floorPrice2(d: Date, k: Rate): Real

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:207
Parameters
- d: Date
- k: Rate
Returns Real

floorPrices

floorPrices(): Matrix

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:231
Returns Matrix

floorStrikes

floorStrikes(): Rate[]

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:219
Returns Rate[]

frequency

frequency(): Frequency

Inherited from InflationTermStructure.frequency
- Defined in ql/termstructures/inflationtermstructure.ts:92
Returns Frequency

hasSeasonality

hasSeasonality(): boolean

Inherited from InflationTermStructure.hasSeasonality
- Defined in ql/termstructures/inflationtermstructure.ts:146
Returns boolean

indexIsInterpolated

indexIsInterpolated(): boolean

Inherited from InflationTermStructure.indexIsInterpolated
- Defined in ql/termstructures/inflationtermstructure.ts:96
Returns boolean

itsInit1

itsInit1(baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure

Inherited from InflationTermStructure.itsInit1
- Defined in ql/termstructures/inflationtermstructure.ts:23
Parameters
- baseRate: Rate
- observationLag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
- Default value dayCounter: DayCounter = new DayCounter()
- Default value seasonality: Seasonality = null
Returns InflationTermStructure

itsInit2

itsInit2(referenceDate: Date, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, calendar?: Calendar, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure

Inherited from InflationTermStructure.itsInit2
- Defined in ql/termstructures/inflationtermstructure.ts:42
Parameters
- referenceDate: Date
- baseRate: Rate
- observationLag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
- Default value calendar: Calendar = new Calendar()
- Default value dayCounter: DayCounter = new DayCounter()
- Default value seasonality: Seasonality = null
Returns InflationTermStructure

itsInit3

itsInit3(settlementDays: Natural, calendar: Calendar, baseRate: Rate, observationLag: Period, frequency: Frequency, indexIsInterpolated: boolean, yTS: Handle<YieldTermStructure>, dayCounter?: DayCounter, seasonality?: Seasonality): InflationTermStructure

Inherited from InflationTermStructure.itsInit3
- Defined in ql/termstructures/inflationtermstructure.ts:62
Parameters
- settlementDays: Natural
- calendar: Calendar
- baseRate: Rate
- observationLag: Period
- frequency: Frequency
- indexIsInterpolated: boolean
- yTS: Handle<YieldTermStructure>
- Default value dayCounter: DayCounter = new DayCounter()
- Default value seasonality: Seasonality = null
Returns InflationTermStructure

maturities

maturities(): Period[]

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:223
Returns Period[]

maxDate

maxDate(): Date

Overrides TermStructure.maxDate
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:247
Returns Date

maxStrike

maxStrike(): Rate

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:239
Returns Rate

maxTime

maxTime(): Time

Inherited from TermStructure.maxTime
- Defined in ql/termstructure.ts:135
the latest time for which the curve can return values

Returns Time

minDate

minDate(): Date

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:243
Returns Date

minStrike

minStrike(): Rate

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:235
Returns Rate

nominal

nominal(): Real

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:179
Returns Real

nominalTermStructure

nominalTermStructure(): Handle<YieldTermStructure>

Inherited from InflationTermStructure.nominalTermStructure
- Defined in ql/termstructures/inflationtermstructure.ts:104
Returns Handle<YieldTermStructure>

observationLag

observationLag(): Period

Overrides InflationTermStructure.observationLag
- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:159
Returns Period

price1

price1(d: Period, k: Rate): Real

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:187
Parameters
- d: Period
- k: Rate
Returns Real

price2

price2(d: Date, k: Rate): Real

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:199
Parameters
- d: Date
- k: Rate
Returns Real

referenceDate

referenceDate(): Date

Inherited from TermStructure.referenceDate
- Defined in ql/termstructure.ts:140
the date at which discount = 1.0 and/or variance = 0.0

Returns Date

seasonality

seasonality(): Seasonality

Inherited from InflationTermStructure.seasonality
- Defined in ql/termstructures/inflationtermstructure.ts:142
Returns Seasonality

setBaseRate

setBaseRate(r: Rate): void

Inherited from InflationTermStructure.setBaseRate
- Defined in ql/termstructures/inflationtermstructure.ts:155
Parameters
- r: Rate
Returns void

setSeasonality

setSeasonality(seasonality?: Seasonality): void

Inherited from InflationTermStructure.setSeasonality
- Defined in ql/termstructures/inflationtermstructure.ts:130
Functions to set and get seasonality.

Calling setSeasonality with no arguments means unsetting as the default is used to choose unsetting.

Parameters
- Default value seasonality: Seasonality = null
Returns void

settlementDays

settlementDays(): Natural

Inherited from TermStructure.settlementDays
- Defined in ql/termstructure.ts:156
the settlementDays used for reference date calculation

Returns Natural

strikes

strikes(): Rate[]

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:211
Returns Rate[]

timeFromReference

timeFromReference(d: Date): Time

Inherited from TermStructure.timeFromReference
- Defined in ql/termstructure.ts:125
date/time conversion

Parameters
- d: Date
Returns Time

tsInit1

tsInit1(dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit1
- Defined in ql/termstructure.ts:79
Parameters
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

tsInit2

tsInit2(referenceDate: Date, calendar?: Calendar, dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit2
- Defined in ql/termstructure.ts:91
Parameters
- referenceDate: Date
- Default value calendar: Calendar = new Calendar()
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

tsInit3

tsInit3(settlementDays: Natural, calendar: Calendar, dc?: DayCounter): TermStructure

Inherited from TermStructure.tsInit3
- Defined in ql/termstructure.ts:107
Parameters
- settlementDays: Natural
- calendar: Calendar
- Default value dc: DayCounter = new DayCounter()
Returns TermStructure

update

update(): void

Inherited from TermStructure.update

Overrides ObserverObservableExtrapolator.update
- Defined in ql/termstructure.ts:163
Returns void

zeroInflationIndex

zeroInflationIndex(): Handle<ZeroInflationIndex>

- Defined in ql/experimental/inflation/cpicapfloortermpricesurface.ts:175
Returns Handle<ZeroInflationIndex>

Hierarchy

Implements

Index

Properties

Methods

Properties

_baseRate

Private _bdc

Protected _cPrice

Protected _cStrikes

_calendar

Protected _cfMaturities

Protected _cfMaturityTimes

Protected _cfStrikes

_dayCounter

_extrapolate

Protected _fPrice

Protected _fStrikes

_frequency

_indexIsInterpolated

_isDisposed

_moving

Private _nominal

_nominalTermStructure

_observables

_observationLag

_observers

_referenceDate

_seasonality

_settlementDays

_updated

Protected _zii

allowsExtrapolation

Type declaration

Returns boolean

deepUpdate

Type declaration

Returns void

disableExtrapolation

Type declaration

Parameters

Optional b: boolean

Returns void

dispose

Type declaration

Returns void

enableExtrapolation

Type declaration

Parameters

Optional b: boolean

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size