Class YoYInflationUnitDisplacedBlackCapFloorEngine

Namespace: NanoQL.PricingEngines

Assembly: NanoQL.dll

The unit-displaced Black-formula year-on-year inflation cap/floor engine: the strike and the forward displaced by 1.

public static class YoYInflationUnitDisplacedBlackCapFloorEngine

Inheritance: object

YoYInflationUnitDisplacedBlackCapFloorEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A static class: Calculate runs QuantLib's four steps (playbook §2.1) and returns the instrument's results, with QuantLib's additional results, read by Result<T>(string), each per optionlet and an ImmutableArray<T> of double: optionletsPrice, optionletsAtmForward (0 for an optionlet paid on or before the nominal curve's reference date) and optionletsStdDev, which a collar's results don't hold, as QuantLib's don't. QuantLib's setVolatility has no form: a call takes the volatility.

Each optionlet's forward is its coupon's own fixing: the published fixing once it is out, the forecast before, where QuantLib's reads the index's curve at the fixing date, a documented divergence. The index needs its year-on-year curve only where a forecast is needed, and refuses with QuantLib's empty-handle text there.

Methods

Calculate(YoYInflationCapFloor, EvaluationContext, YoYInflationIndex, YoYOptionletVolatilitySurface, YieldTermStructure)

Prices a year-on-year cap, floor or collar.

public static InstrumentResults Calculate(YoYInflationCapFloor capFloor, EvaluationContext context, YoYInflationIndex index, YoYOptionletVolatilitySurface volatility, YieldTermStructure nominalTermStructure)

Parameters

capFloor YoYInflationCapFloor: The instrument.
context EvaluationContext: The evaluation context.
index YoYInflationIndex: The year-on-year index the forwards are observed on.
volatility YoYOptionletVolatilitySurface: The optionlet volatility, lognormal in 1 plus the rate.
nominalTermStructure YieldTermStructure: The nominal curve the optionlets are discounted on.

Returns

InstrumentResults: The results: the expired results when the instrument has expired.

Exceptions

ArgumentNullException: An argument is null.
NanoQLException: A cash flow isn't a year-on-year inflation coupon, a forward can't be fixed or forecast, or the volatility refuses a fixing date or a strike.
ArgumentException: The formula refuses its inputs.