OISCapFloorHelper Class Reference

#include <qle/termstructures/oiscapfloorhelper.hpp>

Inheritance diagram for OISCapFloorHelper:

Collaboration diagram for OISCapFloorHelper:

Public Member Functions
	OISCapFloorHelper (CapFloorHelper::Type type, const QuantLib::Period &tenor, const QuantLib::Period &rateComputationPeriod, QuantLib::Rate strike, const QuantLib::Handle< QuantLib::Quote > &quote, const QuantLib::ext::shared_ptr< QuantLib::OvernightIndex > &index, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountingCurve, bool moving=true, const QuantLib::Date &effectiveDate=QuantLib::Date(), CapFloorHelper::QuoteType quoteType=CapFloorHelper::Premium, QuantLib::VolatilityType quoteVolatilityType=QuantLib::Normal, QuantLib::Real quoteDisplacement=0.0)
	OISCapFloorHelper, similar to CapFloorHelper. More...
Leg	capFloor () const
void	setTermStructure (QuantLib::OptionletVolatilityStructure *ovts) override
QuantLib::Real	impliedQuote () const override
void	accept (QuantLib::AcyclicVisitor &) override

Private Member Functions
void	initializeDates () override
QuantLib::Real	npv (QuantLib::Real quote)
	A method to calculate the cap floor premium from a flat cap floor volatility value. More...

Private Attributes
CapFloorHelper::Type	type_
QuantLib::Period	tenor_
QuantLib::Period	rateComputationPeriod_
QuantLib::Rate	strike_
QuantLib::ext::shared_ptr< QuantLib::OvernightIndex >	index_
QuantLib::Handle< QuantLib::YieldTermStructure >	discountHandle_
bool	moving_
QuantLib::Date	effectiveDate_
CapFloorHelper::QuoteType	quoteType_
QuantLib::VolatilityType	quoteVolatilityType_
QuantLib::Real	quoteDisplacement_
QuantLib::Handle< QuantLib::Quote >	rawQuote_
bool	initialised_
Leg	capFloor_
QuantLib::RelinkableHandle< QuantLib::OptionletVolatilityStructure >	ovtsHandle_
Leg	capFloorCopy_

Detailed Description

Definition at line 33 of file oiscapfloorhelper.hpp.

Constructor & Destructor Documentation

OISCapFloorHelper()

OISCapFloorHelper	(	CapFloorHelper::Type	type,
		const QuantLib::Period &	tenor,
		const QuantLib::Period &	rateComputationPeriod,
		QuantLib::Rate	strike,
		const QuantLib::Handle< QuantLib::Quote > &	quote,
		const QuantLib::ext::shared_ptr< QuantLib::OvernightIndex > &	index,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountingCurve,
		bool	moving = true,
		const QuantLib::Date &	effectiveDate = QuantLib::Date(),
		CapFloorHelper::QuoteType	quoteType = CapFloorHelper::Premium,
		QuantLib::VolatilityType	quoteVolatilityType = QuantLib::Normal,
		QuantLib::Real	quoteDisplacement = 0.0
	)

OISCapFloorHelper, similar to CapFloorHelper.

Definition at line 37 of file oiscapfloorhelper.cpp.

    : RelativeDateBootstrapHelper<OptionletVolatilityStructure>(
          Handle<Quote>(QuantLib::ext::make_shared<DerivedQuote<QuantLib::ext::function<Real(Real)>>>(
              quote, QuantLib::ext::bind(&OISCapFloorHelper::npv, this, QuantLib::ext::placeholders::_1)))),
      type_(type), tenor_(tenor), rateComputationPeriod_(rateComputationPeriod), strike_(strike), index_(index),
      discountHandle_(discountingCurve), moving_(moving), effectiveDate_(effectiveDate), quoteType_(quoteType),
      quoteVolatilityType_(quoteVolatilityType), quoteDisplacement_(quoteDisplacement), rawQuote_(quote),
      initialised_(false) {
 
    if (quoteType_ == CapFloorHelper::Premium) {
        QL_REQUIRE(type_ != CapFloorHelper::Automatic,
                   "Cannot have CapFloorHelper type 'Automatic' with quote type of Premium");
    }
 
    QL_REQUIRE(!(moving_ && effectiveDate_ != Date()),
               "A fixed effective date does not make sense for a moving helper");
 
    registerWith(index_);
    registerWith(discountHandle_);
 
    initializeDates();
    initialised_ = true;
}

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Member Function Documentation

capFloor()

Leg capFloor

(

)

const

Definition at line 47 of file oiscapfloorhelper.hpp.

{ return capFloor_; }

setTermStructure()

void setTermStructure ( QuantLib::OptionletVolatilityStructure *  ovts )

override

Definition at line 103 of file oiscapfloorhelper.cpp.

                                                                           {
 
    if (strike_ == Null<Real>()) {
        // If the strike is Null<Real>(), we want an ATM helper
        Rate atm = CashFlows::atmRate(getOisCapFloorUnderlying(capFloor_), **discountHandle_, false);
        CapFloor::Type capFloorType = type_ == CapFloorHelper::Cap ? CapFloor::Cap : CapFloor::Floor;
        capFloor_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, atm)
                        .withTelescopicValueDates(true)
                        .withEffectiveDate(effectiveDate_);
        capFloorCopy_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, atm)
                        .withTelescopicValueDates(true)
                            .withEffectiveDate(effectiveDate_);
    } else if (type_ == CapFloorHelper::Automatic && quoteType_ != CapFloorHelper::Premium) {
        // If the helper is set to automatically choose the underlying instrument type, do it now based on the ATM rate
        Rate atm = CashFlows::atmRate(getOisCapFloorUnderlying(capFloor_), **discountHandle_, false);
        CapFloor::Type capFloorType = atm > strike_ ? CapFloor::Floor : CapFloor::Cap;
        capFloor_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, strike_)
                        .withTelescopicValueDates(true)
                        .withEffectiveDate(effectiveDate_);
        capFloorCopy_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, strike_)
                            .withTelescopicValueDates(true)
                            .withEffectiveDate(effectiveDate_);
        for (auto const& c : capFloor_) {
        auto cpn = QuantLib::ext::dynamic_pointer_cast<Coupon>(c);
        }
    }
 
    QuantLib::ext::shared_ptr<OptionletVolatilityStructure> temp(ovts, null_deleter());
    ovtsHandle_.linkTo(temp, false);
    RelativeDateBootstrapHelper<OptionletVolatilityStructure>::setTermStructure(ovts);
 
    auto pricer = QuantLib::ext::make_shared<BlackOvernightIndexedCouponPricer>(ovtsHandle_);
    for (auto c : capFloor_) {
        auto f = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(c);
        if (f) {
            f->setPricer(pricer);
        }
    }
 
    // If the quote type is not a premium, we will need to use capFloorCopy_ to return the premium from the volatility
    // quote
    if (quoteType_ != CapFloorHelper::Premium) {
        Handle<OptionletVolatilityStructure> constOvts;
        if (quoteVolatilityType_ == ShiftedLognormal) {
            constOvts = Handle<OptionletVolatilityStructure>(QuantLib::ext::make_shared<ConstantOptionletVolatility>(
                0, NullCalendar(), Unadjusted, rawQuote_, Actual365Fixed(), ShiftedLognormal, quoteDisplacement_));
        } else {
            constOvts = Handle<OptionletVolatilityStructure>(QuantLib::ext::make_shared<ConstantOptionletVolatility>(
                0, NullCalendar(), Unadjusted, rawQuote_, Actual365Fixed(), Normal));
        }
        auto pricer = QuantLib::ext::make_shared<BlackOvernightIndexedCouponPricer>(constOvts, true);
        for (auto c : capFloorCopy_) {
            auto f = QuantLib::ext::dynamic_pointer_cast<FloatingRateCoupon>(c);
            if (f) {
                f->setPricer(pricer);
            }
        }
    }
}

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impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 163 of file oiscapfloorhelper.cpp.

                                           {
    QL_REQUIRE(termStructure_ != 0, "CapFloorHelper's optionlet volatility term structure has not been set");
    for (auto c : capFloor_) {
        auto f = QuantLib::ext::dynamic_pointer_cast<LazyObject>(c);
        if (f) {
            f->deepUpdate();
        }
    }
    return CashFlows::npv(capFloor_, **discountHandle_, false);
}

accept()

void accept ( QuantLib::AcyclicVisitor &  )

override

Definition at line 174 of file oiscapfloorhelper.cpp.

                                                {
    if (Visitor<OISCapFloorHelper>* v1 = dynamic_cast<Visitor<OISCapFloorHelper>*>(&v))
        v1->visit(*this);
    else
        RelativeDateBootstrapHelper<OptionletVolatilityStructure>::accept(v);
}

initializeDates()

void initializeDates ( )

overrideprivate

Definition at line 67 of file oiscapfloorhelper.cpp.

                                        {
 
    if (!initialised_ || moving_) {
 
        Date today = Settings::instance().evaluationDate();
 
        CapFloor::Type capFloorType = type_ == CapFloorHelper::Cap ? CapFloor::Cap : CapFloor::Floor;
 
        // Initialise the instrument and a copy
        // The strike can be Null<Real>() to indicate an ATM cap floor helper
        Rate dummyStrike = strike_ == Null<Real>() ? 0.01 : strike_;
        capFloor_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, dummyStrike)
                        .withEffectiveDate(effectiveDate_)
                        .withTelescopicValueDates(true);
        capFloorCopy_ = MakeOISCapFloor(capFloorType, tenor_, index_, rateComputationPeriod_, dummyStrike)
                            .withEffectiveDate(effectiveDate_)
                            .withTelescopicValueDates(true);
 
        QL_REQUIRE(!capFloor_.empty(), "OISCapFloorHelper: got empty leg.");
 
        maturityDate_ = CashFlows::maturityDate(capFloor_);
 
        // Earliest date is the first optionlet fixing date
        auto cfon = QuantLib::ext::dynamic_pointer_cast<CappedFlooredOvernightIndexedCoupon>(capFloor_.front());
        QL_REQUIRE(cfon, "OISCapFloorHelper: Expected the first cashflow on the ois cap floor instrument to be a "
                         "CappedFlooredOvernightIndexedCoupon");
        earliestDate_ = std::max(today, cfon->underlying()->fixingDates().front());
 
        // Remaining dates are each equal to the fixing date on the final optionlet
        auto cfon2 = QuantLib::ext::dynamic_pointer_cast<CappedFlooredOvernightIndexedCoupon>(capFloor_.back());
        QL_REQUIRE(cfon2, "OISCapFloorHelper: Expected the final cashflow on the cap floor instrument to be a "
                          "CappedFlooredOvernightIndexedCoupon");
        pillarDate_ = latestDate_ = latestRelevantDate_ = cfon2->underlying()->fixingDates().back();
    }
}

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npv()

Real npv ( QuantLib::Real  quote )

private

A method to calculate the cap floor premium from a flat cap floor volatility value.

Definition at line 181 of file oiscapfloorhelper.cpp.

                                           {
    if (quoteType_ == CapFloorHelper::Premium) {
        return quoteValue;
    } else {
        // If the quote value is a volatility, return the premium
        return CashFlows::npv(capFloorCopy_, **discountHandle_, false);
    }
}

Member Data Documentation

type_

CapFloorHelper::Type type_

private

Definition at line 56 of file oiscapfloorhelper.hpp.

tenor_

QuantLib::Period tenor_

private

Definition at line 57 of file oiscapfloorhelper.hpp.

rateComputationPeriod_

QuantLib::Period rateComputationPeriod_

private

Definition at line 58 of file oiscapfloorhelper.hpp.

strike_

QuantLib::Rate strike_

private

Definition at line 59 of file oiscapfloorhelper.hpp.

index_

QuantLib::ext::shared_ptr<QuantLib::OvernightIndex> index_

private

Definition at line 60 of file oiscapfloorhelper.hpp.

discountHandle_

QuantLib::Handle<QuantLib::YieldTermStructure> discountHandle_

private

Definition at line 61 of file oiscapfloorhelper.hpp.

moving_

bool moving_

private

Definition at line 62 of file oiscapfloorhelper.hpp.

effectiveDate_

QuantLib::Date effectiveDate_

private

Definition at line 63 of file oiscapfloorhelper.hpp.

quoteType_

CapFloorHelper::QuoteType quoteType_

private

Definition at line 64 of file oiscapfloorhelper.hpp.

quoteVolatilityType_

QuantLib::VolatilityType quoteVolatilityType_

private

Definition at line 65 of file oiscapfloorhelper.hpp.

quoteDisplacement_

QuantLib::Real quoteDisplacement_

private

Definition at line 66 of file oiscapfloorhelper.hpp.

rawQuote_

QuantLib::Handle<QuantLib::Quote> rawQuote_

private

Definition at line 67 of file oiscapfloorhelper.hpp.

initialised_

bool initialised_

private

Definition at line 68 of file oiscapfloorhelper.hpp.

capFloor_

Leg capFloor_

private

Definition at line 70 of file oiscapfloorhelper.hpp.

ovtsHandle_

QuantLib::RelinkableHandle<QuantLib::OptionletVolatilityStructure> ovtsHandle_

private

Definition at line 71 of file oiscapfloorhelper.hpp.

capFloorCopy_

Leg capFloorCopy_

private

Definition at line 72 of file oiscapfloorhelper.hpp.