#include <qle/termstructures/optionletstripper.hpp>

Inheritance diagram for OptionletStripper:

Collaboration diagram for OptionletStripper:

StrippedOptionletBase interface
ext::shared_ptr< CapFloorTermVolSurface >	termVolSurface_

ext::shared_ptr< IborIndex >	index_

Handle< YieldTermStructure >	discount_

Size	nStrikes_

Size	nOptionletTenors_

std::vector< std::vector< Rate > >	optionletStrikes_

std::vector< std::vector< Volatility > >	optionletVolatilities_

std::vector< Time >	optionletTimes_

std::vector< Date >	optionletDates_

std::vector< Period >	optionletTenors_

std::vector< Rate >	atmOptionletRate_

std::vector< Date >	optionletPaymentDates_

std::vector< Time >	optionletAccrualPeriods_

std::vector< Period >	capFloorLengths_

const VolatilityType	volatilityType_

const Real	displacement_

const Period	rateComputationPeriod_

const Size	onCapSettlementDays_

const std::vector< Rate > &	optionletStrikes (Size i) const override

const std::vector< Volatility > &	optionletVolatilities (Size i) const override

const std::vector< Date > &	optionletFixingDates () const override

const std::vector< Time > &	optionletFixingTimes () const override

Size	optionletMaturities () const override

const std::vector< Rate > &	atmOptionletRates () const override

DayCounter	dayCounter () const override

Calendar	calendar () const override

Natural	settlementDays () const override

BusinessDayConvention	businessDayConvention () const override

const std::vector< Period > &	optionletFixingTenors () const

const std::vector< Date > &	optionletPaymentDates () const

const std::vector< Time > &	optionletAccrualPeriods () const

ext::shared_ptr< CapFloorTermVolSurface >	termVolSurface () const

ext::shared_ptr< IborIndex >	index () const

Real	displacement () const override

VolatilityType	volatilityType () const override

const Period &	rateComputationPeriod () const

	OptionletStripper (const ext::shared_ptr< QuantExt::CapFloorTermVolSurface > &, const ext::shared_ptr< IborIndex > &index, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), const VolatilityType type=ShiftedLognormal, const Real displacement=0.0, const Period &rateComputationPeriod=0 *Days, const Size onCapSettlementDays=0)

virtual void	populateDates () const
	Method to populate the dates, times and accruals that can be overridden in derived classes. More...

Detailed Description

Copy of the QL class that uses an QuantExt::CapFloorTermVolSurface to support BiLinearInterpolation

Definition at line 41 of file optionletstripper.hpp.

Constructor & Destructor Documentation

◆ OptionletStripper()

OptionletStripper	(	const ext::shared_ptr< QuantExt::CapFloorTermVolSurface > &	,
		const ext::shared_ptr< IborIndex > &	index,
		const Handle< YieldTermStructure > &	discount = `Handle<YieldTermStructure>()`,
		const VolatilityType	type = `ShiftedLognormal`,
		const Real	displacement = `0.0`,
		const Period &	rateComputationPeriod = `0 * Days`,
		const Size	onCapSettlementDays = `0`
	)

protected

Definition at line 30 of file optionletstripper.cpp.

    : termVolSurface_(termVolSurface), index_(index), discount_(discount), nStrikes_(termVolSurface->strikes().size()),
      volatilityType_(type), displacement_(displacement),
      rateComputationPeriod_(rateComputationPeriod == 0 * Days ? index->tenor() : rateComputationPeriod),
      onCapSettlementDays_(onCapSettlementDays) {
 
    bool isOis = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(index_) != nullptr;
 
    QL_REQUIRE(!isOis || rateComputationPeriod != 0 * Days,
               "OptionletStripper: For an OIS index the rateComputationPeriod must be given");
    QL_REQUIRE(isOis || rateComputationPeriod == 0 * Days || rateComputationPeriod == index_->tenor(),
               "OptionletStripper: For an Ibor index the Ibor tenor ("
                   << index_->tenor() << ") must match the rateComputationPeriod (" << rateComputationPeriod
                   << ") if the latter is given.");
 
    if (volatilityType_ == Normal) {
        QL_REQUIRE(displacement_ == 0.0, "non-null displacement is not allowed with Normal model");
    }
 
    registerWith(termVolSurface);
    registerWith(index_);
    registerWith(discount_);
    registerWith(Settings::instance().evaluationDate());
 
    QL_REQUIRE(termVolSurface->optionTenors().size() > 0, "OptionletStripper: No OptionTenors provided.");
    Period maxCapFloorTenor = termVolSurface->optionTenors().back();
 
    // optionlet tenors and capFloor lengths
    optionletTenors_.push_back(rateComputationPeriod_);
    capFloorLengths_.push_back(optionletTenors_.back() + (isOis ? 0 * Days : rateComputationPeriod_));
    QL_REQUIRE(maxCapFloorTenor >= capFloorLengths_.back(),
               "too short (" << maxCapFloorTenor << ") capfloor term vol termVolSurface");
    Period nextCapFloorLength = capFloorLengths_.back() + rateComputationPeriod_;
    while (nextCapFloorLength <= maxCapFloorTenor) {
        if (capFloorLengths_.back() > optionletTenors_.back())
            optionletTenors_.push_back(capFloorLengths_.back());
        capFloorLengths_.push_back(nextCapFloorLength);
        nextCapFloorLength += rateComputationPeriod_;
    }
    if(isOis)
        optionletTenors_.push_back(capFloorLengths_.back());
    nOptionletTenors_ = optionletTenors_.size();
 
    optionletVolatilities_ = vector<vector<Volatility>>(nOptionletTenors_, vector<Volatility>(nStrikes_));
    optionletStrikes_ = vector<vector<Rate>>(nOptionletTenors_, termVolSurface->strikes());
    optionletDates_ = vector<Date>(nOptionletTenors_);
    optionletTimes_ = vector<Time>(nOptionletTenors_);
    atmOptionletRate_ = vector<Rate>(nOptionletTenors_);
    optionletPaymentDates_ = vector<Date>(nOptionletTenors_);
    optionletAccrualPeriods_ = vector<Time>(nOptionletTenors_);
}

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Member Function Documentation

◆ optionletStrikes()

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

override

Definition at line 86 of file optionletstripper.cpp.

                                                                    {
    calculate();
    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

override

Definition at line 93 of file optionletstripper.cpp.

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

◆ optionletFixingDates()

const vector< Date > & optionletFixingDates ( ) const

override

Definition at line 102 of file optionletstripper.cpp.

                                                                  {
    calculate();
    return optionletDates_;
}

◆ optionletFixingTimes()

const vector< Time > & optionletFixingTimes ( ) const

override

Definition at line 107 of file optionletstripper.cpp.

                                                                  {
    calculate();
    return optionletTimes_;
}

◆ optionletMaturities()

Size optionletMaturities ( ) const

override

Definition at line 112 of file optionletstripper.cpp.

112{ return optionletTenors_.size(); }

◆ atmOptionletRates()

const vector< Rate > & atmOptionletRates ( ) const

override

Definition at line 124 of file optionletstripper.cpp.

                                                               {
    calculate();
    return atmOptionletRate_;
}

◆ dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 129 of file optionletstripper.cpp.

129{ return termVolSurface_->dayCounter(); }

◆ calendar()

Calendar calendar ( ) const

override

Definition at line 131 of file optionletstripper.cpp.

131{ return termVolSurface_->calendar(); }

◆ settlementDays()

Natural settlementDays ( ) const

override

Definition at line 133 of file optionletstripper.cpp.

133{ return termVolSurface_->settlementDays(); }

◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

override

Definition at line 135 of file optionletstripper.cpp.

                                                                     {
    return termVolSurface_->businessDayConvention();
}

◆ optionletFixingTenors()

const vector< Period > & optionletFixingTenors ( ) const

Definition at line 100 of file optionletstripper.cpp.

100{ return optionletTenors_; }

◆ optionletPaymentDates()

const vector< Date > & optionletPaymentDates ( ) const

Definition at line 114 of file optionletstripper.cpp.

                                                                   {
    calculate();
    return optionletPaymentDates_;
}

◆ optionletAccrualPeriods()

const vector< Time > & optionletAccrualPeriods ( ) const

Definition at line 119 of file optionletstripper.cpp.

                                                                     {
    calculate();
    return optionletAccrualPeriods_;
}

◆ termVolSurface()

ext::shared_ptr< CapFloorTermVolSurface > termVolSurface ( ) const

Definition at line 139 of file optionletstripper.cpp.

139{ return termVolSurface_; }

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◆ index()

ext::shared_ptr< IborIndex > index ( ) const

Definition at line 141 of file optionletstripper.cpp.

141{ return index_; }

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◆ displacement()

Real displacement ( ) const

override

Definition at line 143 of file optionletstripper.cpp.

143{ return displacement_; }

◆ volatilityType()

VolatilityType volatilityType ( ) const

override

Definition at line 145 of file optionletstripper.cpp.

145{ return volatilityType_; }

◆ rateComputationPeriod()

const Period & rateComputationPeriod ( ) const

Definition at line 147 of file optionletstripper.cpp.

147{ return rateComputationPeriod_; }

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◆ populateDates()

void populateDates ( ) const

protectedvirtual

Method to populate the dates, times and accruals that can be overridden in derived classes.

Definition at line 149 of file optionletstripper.cpp.

                                            {
 
    bool isOis = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(index_) != nullptr;
 
    Date referenceDate = termVolSurface_->referenceDate();
    DayCounter dc = termVolSurface_->dayCounter();
    QuantLib::ext::shared_ptr<BlackCapFloorEngine> dummyEngine =
        QuantLib::ext::make_shared<BlackCapFloorEngine>(index_->forwardingTermStructure(), 0.20, dc);
 
    for (Size i = 0; i < nOptionletTenors_; ++i) {
        if (isOis) {
            Leg dummyCap =
                MakeOISCapFloor(CapFloor::Cap, capFloorLengths_[i], QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(index_),
                                rateComputationPeriod_, 0.04)
                    .withTelescopicValueDates(true)
                    .withSettlementDays(onCapSettlementDays_);
            auto lastCoupon = QuantLib::ext::dynamic_pointer_cast<CappedFlooredOvernightIndexedCoupon>(dummyCap.back());
            QL_REQUIRE(lastCoupon, "OptionletStripper::populateDates(): expected CappedFlooredOvernightIndexedCoupon");
            optionletDates_[i] = std::max(referenceDate + 1, lastCoupon->underlying()->fixingDates().front());
            optionletPaymentDates_[i] = lastCoupon->underlying()->date();
            optionletAccrualPeriods_[i] = lastCoupon->underlying()->accrualPeriod();
            optionletTimes_[i] = dc.yearFraction(referenceDate, optionletDates_[i]);
            atmOptionletRate_[i] = lastCoupon->underlying()->rate();
        } else {
            CapFloor dummyCap =
                MakeCapFloor(CapFloor::Cap, capFloorLengths_[i], index_, 0.04, 0 * Days).withPricingEngine(dummyEngine);
            QuantLib::ext::shared_ptr<FloatingRateCoupon> lastCoupon = dummyCap.lastFloatingRateCoupon();
            optionletDates_[i] = std::max(referenceDate + 1, lastCoupon->fixingDate());
            optionletPaymentDates_[i] = lastCoupon->date();
            optionletAccrualPeriods_[i] = lastCoupon->accrualPeriod();
            optionletTimes_[i] = dc.yearFraction(referenceDate, optionletDates_[i]);
            atmOptionletRate_[i] = lastCoupon->indexFixing();
        }
        QL_REQUIRE(i == 0 || optionletDates_[i] > optionletDates_[i - 1],
                   "OptionletStripper::populateDates(): got non-increasing optionletDates "
                       << optionletDates_[i - 1] << ", " << optionletDates_[i] << " for tenors "
                       << capFloorLengths_[i - 1] << ", " << capFloorLengths_[i] << " and index " << index_->name());
    }
}

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Member Data Documentation

◆ termVolSurface_

ext::shared_ptr<CapFloorTermVolSurface> termVolSurface_

protected

Definition at line 80 of file optionletstripper.hpp.

◆ index_

ext::shared_ptr<IborIndex> index_

protected

Definition at line 81 of file optionletstripper.hpp.

◆ discount_

Handle<YieldTermStructure> discount_

protected

Definition at line 82 of file optionletstripper.hpp.

◆ nStrikes_

Size nStrikes_

protected

Definition at line 83 of file optionletstripper.hpp.

◆ nOptionletTenors_

Size nOptionletTenors_

protected

Definition at line 84 of file optionletstripper.hpp.

◆ optionletStrikes_

std::vector<std::vector<Rate> > optionletStrikes_

mutableprotected

Definition at line 86 of file optionletstripper.hpp.

◆ optionletVolatilities_

std::vector<std::vector<Volatility> > optionletVolatilities_

mutableprotected

Definition at line 87 of file optionletstripper.hpp.

◆ optionletTimes_

std::vector<Time> optionletTimes_

mutableprotected

Definition at line 89 of file optionletstripper.hpp.

◆ optionletDates_

std::vector<Date> optionletDates_

mutableprotected

Definition at line 90 of file optionletstripper.hpp.

◆ optionletTenors_

std::vector<Period> optionletTenors_

protected

Definition at line 91 of file optionletstripper.hpp.

◆ atmOptionletRate_

std::vector<Rate> atmOptionletRate_

mutableprotected

Definition at line 92 of file optionletstripper.hpp.

◆ optionletPaymentDates_

std::vector<Date> optionletPaymentDates_

mutableprotected

Definition at line 93 of file optionletstripper.hpp.

◆ optionletAccrualPeriods_

std::vector<Time> optionletAccrualPeriods_

mutableprotected

Definition at line 94 of file optionletstripper.hpp.

◆ capFloorLengths_

std::vector<Period> capFloorLengths_

protected

Definition at line 96 of file optionletstripper.hpp.

◆ volatilityType_

const VolatilityType volatilityType_

protected

Definition at line 97 of file optionletstripper.hpp.

◆ displacement_

const Real displacement_

protected

Definition at line 98 of file optionletstripper.hpp.

◆ rateComputationPeriod_

const Period rateComputationPeriod_

protected

Definition at line 99 of file optionletstripper.hpp.

◆ onCapSettlementDays_

const Size onCapSettlementDays_

protected

Definition at line 100 of file optionletstripper.hpp.

StrippedOptionletBase interface

Detailed Description

Constructor & Destructor Documentation

◆ OptionletStripper()

Member Function Documentation

◆ optionletStrikes()

◆ optionletVolatilities()

◆ optionletFixingDates()

◆ optionletFixingTimes()

◆ optionletMaturities()

◆ atmOptionletRates()

◆ dayCounter()

◆ calendar()

◆ settlementDays()

◆ businessDayConvention()

◆ optionletFixingTenors()

◆ optionletPaymentDates()

◆ optionletAccrualPeriods()

◆ termVolSurface()

◆ index()

◆ displacement()

◆ volatilityType()

◆ rateComputationPeriod()

◆ populateDates()

Member Data Documentation

◆ termVolSurface_

◆ index_

◆ discount_

◆ nStrikes_

◆ nOptionletTenors_

◆ optionletStrikes_

◆ optionletVolatilities_

◆ optionletTimes_

◆ optionletDates_

◆ optionletTenors_

◆ atmOptionletRate_

◆ optionletPaymentDates_

◆ optionletAccrualPeriods_

◆ capFloorLengths_

◆ volatilityType_

◆ displacement_

◆ rateComputationPeriod_

◆ onCapSettlementDays_