OptionletStripper2::ObjectiveFunction Class Reference

Collaboration diagram for OptionletStripper2::ObjectiveFunction:

Public Member Functions
	ObjectiveFunction (const QuantLib::ext::shared_ptr< QuantExt::OptionletStripper > &, const QuantLib::ext::shared_ptr< QuantLib::CapFloor > &, Real targetValue, const Handle< YieldTermStructure > &discount)
Real	operator() (Volatility spreadVol) const

Private Attributes
QuantLib::ext::shared_ptr< SimpleQuote >	spreadQuote_
QuantLib::ext::shared_ptr< QuantLib::CapFloor >	cap_
Real	targetValue_
const Handle< YieldTermStructure >	discount_

Detailed Description

Definition at line 62 of file optionletstripper2.hpp.

Constructor & Destructor Documentation

ObjectiveFunction()

ObjectiveFunction	(	const QuantLib::ext::shared_ptr< QuantExt::OptionletStripper > &	,
		const QuantLib::ext::shared_ptr< QuantLib::CapFloor > &	,
		Real	targetValue,
		const Handle< YieldTermStructure > &	discount
	)

Definition at line 153 of file optionletstripper2.cpp.

    : cap_(cap), targetValue_(targetValue), discount_(discount) {
    QuantLib::ext::shared_ptr<OptionletVolatilityStructure> adapter(new StrippedOptionletAdapter(optionletStripper));
    adapter->enableExtrapolation();
 
    // set an implausible value, so that calculation is forced
    // at first operator()(Volatility x) call
    spreadQuote_ = QuantLib::ext::shared_ptr<SimpleQuote>(new SimpleQuote(-1.0));
 
    QuantLib::ext::shared_ptr<OptionletVolatilityStructure> spreadedAdapter(
        new SpreadedOptionletVolatility(Handle<OptionletVolatilityStructure>(adapter), Handle<Quote>(spreadQuote_)));
 
    // Use the same volatility type as optionletStripper
    // Anything else would not make sense
    QuantLib::ext::shared_ptr<PricingEngine> engine;
    if (optionletStripper->volatilityType() == ShiftedLognormal) {
        engine = QuantLib::ext::make_shared<BlackCapFloorEngine>(
            discount_, Handle<OptionletVolatilityStructure>(spreadedAdapter), optionletStripper->displacement());
    } else if (optionletStripper->volatilityType() == Normal) {
        engine = QuantLib::ext::make_shared<BachelierCapFloorEngine>(discount_,
                                                             Handle<OptionletVolatilityStructure>(spreadedAdapter));
    } else {
        QL_FAIL("Unknown volatility type: " << optionletStripper->volatilityType());
    }
 
    cap_->setPricingEngine(engine);
}

Member Function Documentation

operator()()

Real operator()

(

Volatility

spreadVol

)

const

Definition at line 183 of file optionletstripper2.cpp.

                                                                       {
    if (s != spreadQuote_->value())
        spreadQuote_->setValue(s);
    return cap_->NPV() - targetValue_;
}

Member Data Documentation

spreadQuote_

QuantLib::ext::shared_ptr<SimpleQuote> spreadQuote_

private

Definition at line 70 of file optionletstripper2.hpp.

cap_

QuantLib::ext::shared_ptr<QuantLib::CapFloor> cap_

private

Definition at line 71 of file optionletstripper2.hpp.

targetValue_

Real targetValue_

private

Definition at line 72 of file optionletstripper2.hpp.

discount_

const Handle<YieldTermStructure> discount_

private

Definition at line 73 of file optionletstripper2.hpp.