Interpolated cap floor term volatility curve. More...

#include <qle/termstructures/capfloortermvolcurve.hpp>

Inheritance diagram for InterpolatedCapFloorTermVolCurve< Interpolator >:

Collaboration diagram for InterpolatedCapFloorTermVolCurve< Interpolator >:

Public Member Functions
	InterpolatedCapFloorTermVolCurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const std::vector< QuantLib::Period > &optionTenors, const std::vector< QuantLib::Handle< QuantLib::Quote > > &volatilities, const QuantLib::DayCounter &dayCounter=QuantLib::Actual365Fixed(), bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())

	InterpolatedCapFloorTermVolCurve (const QuantLib::Date &settlementDate, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const std::vector< QuantLib::Period > &optionTenors, const std::vector< QuantLib::Handle< QuantLib::Quote > > &volatilities, const QuantLib::DayCounter &dayCounter=QuantLib::Actual365Fixed(), bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())

TermStructure interface
QuantLib::Date	maxDate () const override

VolatilityTermStructure interface
QuantLib::Rate	minStrike () const override

QuantLib::Rate	maxStrike () const override

LazyObject interface
void	update () override

void	performCalculations () const override

CapFloorTermVolCurve interface
std::vector< QuantLib::Period >	optionTenors () const override
	Return the tenors used in the CapFloorTermVolCurve. More...

Inspectors
const std::vector< QuantLib::Date > &	optionDates () const

const std::vector< QuantLib::Time > &	optionTimes () const

Public Member Functions inherited from CapFloorTermVolCurve
	CapFloorTermVolCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())

	CapFloorTermVolCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())

	CapFloorTermVolCurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter())
	calculate the reference date based on the global evaluation date More...

CapFloorTermVolatilityStructure interface
QuantLib::Size	nOptionTenors_
	Number of underlying cap floor instruments. More...

std::vector< QuantLib::Period >	optionTenors_
	Underlying cap floor tenors. More...

std::vector< QuantLib::Date >	optionDates_

std::vector< QuantLib::Time >	optionTimes_

std::vector< QuantLib::Handle< QuantLib::Quote > >	volatilities_
	Cap floor term volatility quotes. More...

bool	flatFirstPeriod_
	True for flat volatility from time zero to the first cap floor date. More...

QuantLib::Volatility	volatilityImpl (QuantLib::Time length, QuantLib::Rate) const override

void	checkInputs () const
	Check the constructor arguments for consistency. More...

void	registerWithMarketData ()
	Register this curve with the volatility quotes. More...

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedCapFloorTermVolCurve< Interpolator >

Interpolated cap floor term volatility curve.

Class that interpolates a vector of cap floor volatilities.

Based on the class QuantLib::CapFloorTermVolCurve with changes:

allows for a user provided interpolation (main reason for copy)
does not derive from boost::noncopyable (is this needed?)

Definition at line 70 of file capfloortermvolcurve.hpp.

Constructor & Destructor Documentation

◆ InterpolatedCapFloorTermVolCurve() [1/2]

InterpolatedCapFloorTermVolCurve	(	QuantLib::Natural	settlementDays,
		const QuantLib::Calendar &	calendar,
		QuantLib::BusinessDayConvention	bdc,
		const std::vector< QuantLib::Period > &	optionTenors,
		const std::vector< QuantLib::Handle< QuantLib::Quote > > &	volatilities,
		const QuantLib::DayCounter &	dayCounter = `QuantLib::Actual365Fixed()`,
		bool	flatFirstPeriod = `true`,
		const Interpolator &	interpolator = `Interpolator()`
	)

Constructor with floating reference date

Parameters

settlementDays	Number of days from evaluation date to curve reference date.
calendar	The calendar used to derive cap floor maturity dates from `optionTenors`. Also used to advance from today to reference date if necessary.
bdc	The business day convention used to derive cap floor maturity dates from `optionTenors`.
optionTenors	The cap floor tenors. The first tenor must be positive.
volatilities	The cap floor volatility quotes.
dayCounter	The day counter used to convert from dates to times.
flatFirstPeriod	Set to `true` to use the first element of `volatilities` between time zero and the first element of `optionTenors`. If this is `false`, the volatility at time zero is set to zero and interpolation between time and the first element of `optionTenors` is used.
interpolator	An instance of the interpolator to use. Allows for specification of `Interpolator` instances that use a constructor that takes arguments.

Definition at line 184 of file capfloortermvolcurve.hpp.

    : CapFloorTermVolCurve(settlementDays, calendar, bdc, dayCounter), QuantLib::InterpolatedCurve<Interpolator>(
                                                                           optionTenors.size() + 1, interpolator),
      nOptionTenors_(optionTenors.size()), optionTenors_(optionTenors), optionDates_(nOptionTenors_),
      optionTimes_(nOptionTenors_), volatilities_(volatilities), flatFirstPeriod_(flatFirstPeriod) {
 
    checkInputs();
    registerWithMarketData();
}

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◆ InterpolatedCapFloorTermVolCurve() [2/2]

InterpolatedCapFloorTermVolCurve	(	const QuantLib::Date &	settlementDate,
		const QuantLib::Calendar &	calendar,
		QuantLib::BusinessDayConvention	bdc,
		const std::vector< QuantLib::Period > &	optionTenors,
		const std::vector< QuantLib::Handle< QuantLib::Quote > > &	volatilities,
		const QuantLib::DayCounter &	dayCounter = `QuantLib::Actual365Fixed()`,
		bool	flatFirstPeriod = `true`,
		const Interpolator &	interpolator = `Interpolator()`
	)

Constructor with fixed reference date

Parameters

settlementDate	The curve reference date.
calendar	The calendar used to derive cap floor maturity dates from `optionTenors`. Also used to advance from today to reference date if necessary.
bdc	The business day convention used to derive cap floor maturity dates from `optionTenors`.
optionTenors	The cap floor tenors. The first tenor must be positive.
volatilities	The cap floor volatility quotes.
dayCounter	The day counter used to convert from dates to times.
flatFirstPeriod	Set to `true` to use the first element of `volatilities` between time zero and the first element of `optionTenors`. If this is `false`, the volatility at time zero is set to zero and interpolation between time and the first element of `optionTenors` is used.
interpolator	An instance of the interpolator to use. Allows for specification of `Interpolator` instances that use a constructor that takes arguments.

Definition at line 199 of file capfloortermvolcurve.hpp.

    : CapFloorTermVolCurve(settlementDate, calendar, bdc, dayCounter), QuantLib::InterpolatedCurve<Interpolator>(
                                                                           optionTenors.size() + 1, interpolator),
      nOptionTenors_(optionTenors.size()), optionTenors_(optionTenors), optionDates_(nOptionTenors_),
      optionTimes_(nOptionTenors_), volatilities_(volatilities), flatFirstPeriod_(flatFirstPeriod) {
 
    checkInputs();
    registerWithMarketData();
}

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Member Function Documentation

◆ maxDate()

QuantLib::Date maxDate

override

Definition at line 213 of file capfloortermvolcurve.hpp.

                                                                                                         {
    calculate();
    return optionDates_.back();
}

◆ minStrike()

QuantLib::Rate minStrike

override

Definition at line 218 of file capfloortermvolcurve.hpp.

                                                                                                           {
    return QL_MIN_REAL;
}

◆ maxStrike()

QuantLib::Rate maxStrike

override

Definition at line 222 of file capfloortermvolcurve.hpp.

                                                                                                           {
    return QL_MAX_REAL;
}

◆ update()

void update

override

Definition at line 226 of file capfloortermvolcurve.hpp.

                                                                                          {
    CapFloorTermVolatilityStructure::update();
    LazyObject::update();
}

◆ performCalculations()

void performCalculations

override

Definition at line 231 of file capfloortermvolcurve.hpp.

                                                                                                             {
 
    // Populate the InterpolatedCurve members
    // We make the time zero volatility equal to zero here. However, if flatFirstPeriod is set to true, there is no
    // interpolation between time 0 and the first option date so this value of 0.0 is effectively ignored.
    this->times_[0] = 0.0;
    this->data_[0] = 0.0;
    for (Size i = 0; i < nOptionTenors_; ++i) {
        optionDates_[i] = optionDateFromTenor(optionTenors_[i]);
        optionTimes_[i] = timeFromReference(optionDates_[i]);
        this->times_[i + 1] = optionTimes_[i];
        this->data_[i + 1] = volatilities_[i]->value();
    }
 
    // Would rather call setupInterpolation() but it is not a const method
    this->interpolation_ =
        this->interpolator_.interpolate(this->times_.begin(), this->times_.end(), this->data_.begin());
}

◆ optionTenors()

std::vector< QuantLib::Period > optionTenors ( ) const

overridevirtual

Return the tenors used in the CapFloorTermVolCurve.

Implements CapFloorTermVolCurve.

Definition at line 251 of file capfloortermvolcurve.hpp.

                                                                                             {
    calculate();
    return optionTenors_;
}

◆ optionDates()

const std::vector< QuantLib::Date > & optionDates

Definition at line 257 of file capfloortermvolcurve.hpp.

                                                                                                 {
    calculate();
    return optionDates_;
}

◆ optionTimes()

const std::vector< QuantLib::Time > & optionTimes

Definition at line 263 of file capfloortermvolcurve.hpp.

                                                                                                 {
    calculate();
    return optionTimes_;
}

◆ volatilityImpl()

QuantLib::Volatility volatilityImpl	(	QuantLib::Time	length,
		QuantLib::Rate
	)		const

overrideprotected

Definition at line 269 of file capfloortermvolcurve.hpp.

                                                                                                        {
 
    calculate();
 
    if (flatFirstPeriod_ && length < this->times_[1])
        return this->data_[1];
    else
        return this->interpolation_(length, true);
}

◆ checkInputs()

void checkInputs

private

Check the constructor arguments for consistency.

Definition at line 280 of file capfloortermvolcurve.hpp.

                                                                                                     {
    QL_REQUIRE(!optionTenors_.empty(), "The option tenor vector cannot be empty");
    QL_REQUIRE(nOptionTenors_ == volatilities_.size(), "Mismatch between number of option tenors ("
                                                           << nOptionTenors_ << ") and number of volatilities ("
                                                           << volatilities_.size() << ")");
    QL_REQUIRE(optionTenors_[0] > 0 * Days, "First option tenor needs to be positive but is: " << optionTenors_[0]);
    for (QuantLib::Size i = 1; i < nOptionTenors_; ++i) {
        QL_REQUIRE(optionTenors_[i] > optionTenors_[i - 1],
                   "Non increasing option tenor: " << QuantLib::io::ordinal(i) << " is " << optionTenors_[i - 1]
                                                   << " and " << QuantLib::io::ordinal(i + 1) << " is "
                                                   << optionTenors_[i]);
    }
}

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◆ registerWithMarketData()

void registerWithMarketData

private

Register this curve with the volatility quotes.

Definition at line 294 of file capfloortermvolcurve.hpp.

                                                                                                          {
    for (QuantLib::Size i = 0; i < volatilities_.size(); ++i)
        registerWith(volatilities_[i]);
}

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Member Data Documentation

◆ nOptionTenors_

QuantLib::Size nOptionTenors_

private

Number of underlying cap floor instruments.

Definition at line 161 of file capfloortermvolcurve.hpp.

◆ optionTenors_

std::vector<QuantLib::Period> optionTenors_

private

Underlying cap floor tenors.

Definition at line 164 of file capfloortermvolcurve.hpp.

◆ optionDates_

std::vector<QuantLib::Date> optionDates_

mutableprivate

Underlying cap floor maturity dates. Mutable since if the curve is moving, the dates need to be updated from const method.

Definition at line 169 of file capfloortermvolcurve.hpp.

◆ optionTimes_

std::vector<QuantLib::Time> optionTimes_

mutableprivate

Time to maturity of underlying cap floor instruments. Mutable since if the curve is moving, the times need to be updated from const method.

Definition at line 174 of file capfloortermvolcurve.hpp.

◆ volatilities_

std::vector<QuantLib::Handle<QuantLib::Quote> > volatilities_

private

Cap floor term volatility quotes.

Definition at line 177 of file capfloortermvolcurve.hpp.

◆ flatFirstPeriod_

bool flatFirstPeriod_

private

True for flat volatility from time zero to the first cap floor date.

Definition at line 180 of file capfloortermvolcurve.hpp.

Public Member Functions

CapFloorTermVolatilityStructure interface

Detailed Description

Constructor & Destructor Documentation

◆ InterpolatedCapFloorTermVolCurve() [1/2]

◆ InterpolatedCapFloorTermVolCurve() [2/2]

Member Function Documentation

◆ maxDate()

◆ minStrike()

◆ maxStrike()

◆ update()

◆ performCalculations()

◆ optionTenors()

◆ optionDates()

◆ optionTimes()

◆ volatilityImpl()

◆ checkInputs()

◆ registerWithMarketData()

Member Data Documentation

◆ nOptionTenors_

◆ optionTenors_

◆ optionDates_

◆ optionTimes_

◆ volatilities_

◆ flatFirstPeriod_