DatedStrippedOptionlet Class Reference

Stripped Optionlet Surface. More...

#include <qle/termstructures/datedstrippedoptionlet.hpp>

Inheritance diagram for DatedStrippedOptionlet:

Collaboration diagram for DatedStrippedOptionlet:

Public Member Functions
	DatedStrippedOptionlet (const Date &referenceDate, const QuantLib::ext::shared_ptr< StrippedOptionletBase > &s)
	Construct from a StrippedOptionletBase object. More...
	DatedStrippedOptionlet (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const vector< Date > &optionletDates, const vector< vector< Rate > > &strikes, const vector< vector< Volatility > > &volatilities, const vector< Rate > &optionletAtmRates, const DayCounter &dayCounter, VolatilityType type=ShiftedLognormal, Real displacement=0.0)
	Construct from an explicitly provided optionlet surface. More...
DatedStrippedOptionletBase interface
const vector< Rate > &	optionletStrikes (Size i) const override
const vector< Volatility > &	optionletVolatilities (Size i) const override
const vector< Date > &	optionletFixingDates () const override
const vector< Time > &	optionletFixingTimes () const override
Size	optionletMaturities () const override
const vector< Rate > &	atmOptionletRates () const override
const Date &	referenceDate () const override
const Calendar &	calendar () const override
BusinessDayConvention	businessDayConvention () const override
const DayCounter &	dayCounter () const override
VolatilityType	volatilityType () const override
Real	displacement () const override
virtual const vector< Rate > &	optionletStrikes (Size i) const =0
virtual const vector< Volatility > &	optionletVolatilities (Size i) const =0
virtual const vector< Date > &	optionletFixingDates () const =0
virtual const vector< Time > &	optionletFixingTimes () const =0
virtual Size	optionletMaturities () const =0
virtual const vector< Rate > &	atmOptionletRates () const =0
virtual const Date &	referenceDate () const =0
virtual const DayCounter &	dayCounter () const =0
virtual const Calendar &	calendar () const =0
virtual BusinessDayConvention	businessDayConvention () const =0
virtual VolatilityType	volatilityType () const =0
virtual Real	displacement () const =0

LazyObject interface
Date	referenceDate_
Calendar	calendar_
BusinessDayConvention	businessDayConvention_
vector< Date >	optionletDates_
Size	nOptionletDates_
vector< Time >	optionletTimes_
vector< vector< Rate > >	optionletStrikes_
vector< vector< Volatility > >	optionletVolatilities_
vector< Rate >	optionletAtmRates_
DayCounter	dayCounter_
VolatilityType	type_
Real	displacement_
void	performCalculations () const override
void	checkInputs () const

Detailed Description

Stripped Optionlet Surface.

Class to hold a stripped optionlet surface with a fixed reference date and fixed volatilities

Definition at line 38 of file datedstrippedoptionlet.hpp.

Constructor & Destructor Documentation

DatedStrippedOptionlet() [1/2]

DatedStrippedOptionlet	(	const Date &	referenceDate,
		const QuantLib::ext::shared_ptr< StrippedOptionletBase > &	s
	)

Construct from a StrippedOptionletBase object.

Definition at line 29 of file datedstrippedoptionlet.cpp.

    : referenceDate_(referenceDate), calendar_(s->calendar()), businessDayConvention_(s->businessDayConvention()),
      optionletDates_(s->optionletFixingDates()), nOptionletDates_(s->optionletMaturities()),
      optionletTimes_(s->optionletFixingTimes()), optionletStrikes_(nOptionletDates_, vector<Rate>()),
      optionletVolatilities_(nOptionletDates_, vector<Volatility>()), optionletAtmRates_(s->atmOptionletRates()),
      dayCounter_(s->dayCounter()), type_(s->volatilityType()), displacement_(s->displacement()) {
 
    // Populate the optionlet strikes and volatilities
    for (Size i = 0; i < nOptionletDates_; ++i) {
        optionletStrikes_[i] = s->optionletStrikes(i);
        optionletVolatilities_[i] = s->optionletVolatilities(i);
    }
}

DatedStrippedOptionlet() [2/2]

DatedStrippedOptionlet	(	const Date &	referenceDate,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		const vector< Date > &	optionletDates,
		const vector< vector< Rate > > &	strikes,
		const vector< vector< Volatility > > &	volatilities,
		const vector< Rate > &	optionletAtmRates,
		const DayCounter &	dayCounter,
		VolatilityType	type = ShiftedLognormal,
		Real	displacement = 0.0
	)

Construct from an explicitly provided optionlet surface.

Definition at line 44 of file datedstrippedoptionlet.cpp.

    : referenceDate_(referenceDate), calendar_(calendar), businessDayConvention_(bdc), optionletDates_(optionletDates),
      nOptionletDates_(optionletDates.size()), optionletTimes_(nOptionletDates_), optionletStrikes_(strikes),
      optionletVolatilities_(volatilities), optionletAtmRates_(optionletAtmRates), dayCounter_(dayCounter), type_(type),
      displacement_(displacement) {
 
    checkInputs();
    // Populate the optionlet times
    for (Size i = 0; i < nOptionletDates_; ++i)
        optionletTimes_[i] = dayCounter_.yearFraction(referenceDate_, optionletDates_[i]);
}

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Member Function Documentation

optionletStrikes()

const vector< Rate > & optionletStrikes ( Size  i ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 87 of file datedstrippedoptionlet.cpp.

                                                                         {
    QL_REQUIRE(i < optionletStrikes_.size(),
               "index (" << i << ") must be less than optionletStrikes size (" << optionletStrikes_.size() << ")");
    return optionletStrikes_[i];
}

optionletVolatilities()

const vector< Volatility > & optionletVolatilities ( Size  i ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 93 of file datedstrippedoptionlet.cpp.

                                                                                    {
    QL_REQUIRE(i < optionletVolatilities_.size(), "index (" << i << ") must be less than optionletVolatilities size ("
                                                            << optionletVolatilities_.size() << ")");
    return optionletVolatilities_[i];
}

optionletFixingDates()

const vector< Date > & optionletFixingDates ( ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 99 of file datedstrippedoptionlet.cpp.

{ return optionletDates_; }

optionletFixingTimes()

const vector< Time > & optionletFixingTimes ( ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 101 of file datedstrippedoptionlet.cpp.

{ return optionletTimes_; }

optionletMaturities()

Size optionletMaturities ( ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 103 of file datedstrippedoptionlet.cpp.

{ return nOptionletDates_; }

atmOptionletRates()

const vector< Time > & atmOptionletRates ( ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 105 of file datedstrippedoptionlet.cpp.

{ return optionletAtmRates_; }

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 111 of file datedstrippedoptionlet.cpp.

{ return referenceDate_; }

calendar()

const Calendar & calendar ( ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 109 of file datedstrippedoptionlet.cpp.

{ return calendar_; }

businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 113 of file datedstrippedoptionlet.cpp.

{ return businessDayConvention_; }

dayCounter()

const DayCounter & dayCounter ( ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 107 of file datedstrippedoptionlet.cpp.

{ return dayCounter_; }

volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 115 of file datedstrippedoptionlet.cpp.

{ return type_; }

displacement()

Real displacement ( ) const

overridevirtual

Implements DatedStrippedOptionletBase.

Definition at line 117 of file datedstrippedoptionlet.cpp.

{ return displacement_; }

performCalculations()

void performCalculations ( ) const

override

Definition at line 70 of file datedstrippedoptionlet.hpp.

                                              {
        // Does nothing unless class becomes more dynamic e.g. take in volatilities as quote handles
    }

checkInputs()

void checkInputs ( ) const

private

Definition at line 61 of file datedstrippedoptionlet.cpp.

                                               {
 
    QL_REQUIRE(!optionletDates_.empty(), "Need at least one optionlet to create optionlet surface");
    QL_REQUIRE(nOptionletDates_ == optionletVolatilities_.size(),
               "Mismatch between number of option tenors (" << nOptionletDates_ << ") and number of volatility rows ("
                                                            << optionletVolatilities_.size() << ")");
    QL_REQUIRE(nOptionletDates_ == optionletStrikes_.size(), "Mismatch between number of option tenors ("
                                                                 << nOptionletDates_ << ") and number of strike rows ("
                                                                 << optionletStrikes_.size() << ")");
    QL_REQUIRE(nOptionletDates_ == optionletAtmRates_.size(), "Mismatch between number of option tenors ("
                                                                  << nOptionletDates_ << ") and number of ATM rates ("
                                                                  << optionletAtmRates_.size() << ")");
    QL_REQUIRE(optionletDates_[0] > referenceDate_,
               "First option date (" << optionletDates_[0] << ") must be greater than the reference date");
    QL_REQUIRE(is_strictly_increasing(optionletDates_.begin(), optionletDates_.end()),
               "Optionlet dates must be sorted in ascending order");
 
    for (Size i = 0; i < nOptionletDates_; ++i) {
        QL_REQUIRE(!optionletStrikes_[i].empty(), "The " << io::ordinal(i) << " row of strikes is empty");
        QL_REQUIRE(optionletStrikes_[i].size() == optionletVolatilities_[i].size(),
                   "Size of " << io::ordinal(i) << " row of strikes and volatilities are not equal");
        QL_REQUIRE(is_strictly_increasing(optionletStrikes_[i].begin(), optionletStrikes_[i].end()),
                   "The " << io::ordinal(i) << " row of strikes is not sorted in ascending order");
    }
}

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Member Data Documentation

referenceDate_

Date referenceDate_

private

Definition at line 78 of file datedstrippedoptionlet.hpp.

calendar_

Calendar calendar_

private

Definition at line 79 of file datedstrippedoptionlet.hpp.

businessDayConvention_

BusinessDayConvention businessDayConvention_

private

Definition at line 80 of file datedstrippedoptionlet.hpp.

optionletDates_

vector<Date> optionletDates_

private

Definition at line 81 of file datedstrippedoptionlet.hpp.

nOptionletDates_

Size nOptionletDates_

private

Definition at line 82 of file datedstrippedoptionlet.hpp.

optionletTimes_

vector<Time> optionletTimes_

private

Definition at line 83 of file datedstrippedoptionlet.hpp.

optionletStrikes_

vector<vector<Rate> > optionletStrikes_

private

Definition at line 84 of file datedstrippedoptionlet.hpp.

optionletVolatilities_

vector<vector<Volatility> > optionletVolatilities_

private

Definition at line 85 of file datedstrippedoptionlet.hpp.

optionletAtmRates_

vector<Rate> optionletAtmRates_

private

Definition at line 86 of file datedstrippedoptionlet.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 87 of file datedstrippedoptionlet.hpp.

type_

VolatilityType type_

private

Definition at line 88 of file datedstrippedoptionlet.hpp.

displacement_

Real displacement_

private

Definition at line 89 of file datedstrippedoptionlet.hpp.