the calendar used for reference and/or option date calculation
date-range check
time-range check
the day counter used for date/time conversion
the latest date for which the curve can return values
the latest time for which the curve can return values
The TS 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.
the date at which discount = 1.0 and/or variance = 0.0
the settlementDays used for reference date calculation
date/time conversion
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.
Because inflation is highly linked to dates (for interpolation, periods, etc) we do NOT provide a time version
Returns the volatility for a given maturity date and strike rate that observes inflation, by default, with the observation lag of the term structure. Because inflation is highly linked to dates (for interpolation, periods, etc) we do NOT provide a time version.
Implements the actual volatility surface calculation in derived classes e.g. bilinear interpolation. N.B. does not derive the surface.
Abstract interface ... no data, only results.
Basically used to change the BlackVariance() methods to totalVariance. Also deal with lagged observations of an index with a (usually different) availability lag.