#include <qle/termstructures/piecewiseatmoptionletcurve.hpp>

Inheritance diagram for PiecewiseAtmOptionletCurve< Interpolator, Bootstrap >:

Collaboration diagram for PiecewiseAtmOptionletCurve< Interpolator, Bootstrap >:

Public Types
typedef PiecewiseOptionletCurve< Interpolator, Bootstrap >::this_curve	optionlet_curve

Public Member Functions
	PiecewiseAtmOptionletCurve (QuantLib::Natural settlementDays, const QuantLib::ext::shared_ptr< CapFloorTermVolCurve > &cftvc, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &index, const QuantLib::Handle< QuantLib::YieldTermStructure > &discount, bool flatFirstPeriod=true, const QuantLib::VolatilityType capFloorVolType=QuantLib::ShiftedLognormal, const QuantLib::Real capFloorVolDisplacement=0.0, const boost::optional< QuantLib::VolatilityType > optionletVolType=boost::none, const boost::optional< QuantLib::Real > optionletVolDisplacement=boost::none, bool interpOnOptionlets=true, const Interpolator &i=Interpolator(), const Bootstrap< optionlet_curve > &bootstrap=Bootstrap< optionlet_curve >())

	PiecewiseAtmOptionletCurve (const QuantLib::Date &referenceDate, const QuantLib::ext::shared_ptr< CapFloorTermVolCurve > &cftvc, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &index, const QuantLib::Handle< QuantLib::YieldTermStructure > &discount, bool flatFirstPeriod=true, const QuantLib::VolatilityType capFloorVolType=QuantLib::ShiftedLognormal, const QuantLib::Real capFloorVolDisplacement=0.0, const boost::optional< QuantLib::VolatilityType > optionletVolType=boost::none, const boost::optional< QuantLib::Real > optionletVolDisplacement=boost::none, bool interpOnOptionlets=true, const Interpolator &i=Interpolator(), const Bootstrap< optionlet_curve > &bootstrap=Bootstrap< optionlet_curve >())

Inspectors
QuantLib::VolatilityType	capFloorVolType () const
	Volatility type for the underlying ATM cap floor curve. More...

QuantLib::Real	capFloorVolDisplacement () const
	The applicable shift if the underlying ATM cap floor curve has shifted lognormal volatility. More...

Observer interface
void	update () override

LazyObject interface
void	performCalculations () const override

TermStructure interface
QuantLib::Date	maxDate () const override

VolatilityTermStructure interface
QuantLib::Rate	minStrike () const override

QuantLib::Rate	maxStrike () const override

OptionletVolatilityStructure interface
typedef QuantLib::BootstrapHelper< QuantLib::OptionletVolatilityStructure >	helper
	Store the vector of ATM cap floor helpers that are used in the bootstrap. More...

QuantLib::ext::shared_ptr< CapFloorTermVolCurve >	cftvc_
	The underlying ATM cap floor term volatility curve. More...

bool	flatFirstPeriod_
	Flat optionlet volatility before first optionlet fixing date. More...

QuantLib::VolatilityType	capFloorVolType_
	Volatility type for the underlying ATM cap floor volatility curve. More...

QuantLib::Real	capFloorVolDisplacement_
	The applicable shift if the underlying ATM cap floor volatility curve has shifted lognormal volatility. More...

QuantLib::VolatilityType	volatilityType_
	This optionlet structure's volatility type. More...

QuantLib::Real	displacement_
	This optionlet structure's shift if its volatility type is shifted lognormal. More...

bool	interpOnOptionlets_
	True to interpolate on optionlet volatilities, false to interpolate on cap floor term volatilities. More...

Interpolator	interpolator_
	The interpolator. More...

Bootstrap< optionlet_curve >	bootstrap_
	The bootstrapper. More...

QuantLib::ext::shared_ptr< optionlet_curve >	curve_
	The stripped optionlet curve. More...

std::vector< QuantLib::Period >	tenors_
	Store the helper tenors. More...

std::vector< QuantLib::ext::shared_ptr< helper > >	helpers_

std::vector< QuantLib::ext::shared_ptr< QuantLib::SimpleQuote > >	quotes_
	Store the ATM cap floor curve quotes. More...

QuantLib::VolatilityType	volatilityType () const override

QuantLib::Real	displacement () const override

QuantLib::ext::shared_ptr< optionlet_curve >	curve () const
	The underlying optionlet curve. More...

QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (QuantLib::Time optionTime) const override

QuantLib::Volatility	volatilityImpl (QuantLib::Time optionTime, QuantLib::Rate strike) const override

void	initialise (const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &index, const QuantLib::Handle< QuantLib::YieldTermStructure > &discount)
	Shared initialisation. More...

Detailed Description

template<class Interpolator, template< class > class Bootstrap = QuantExt::IterativeBootstrap>
class QuantExt::PiecewiseAtmOptionletCurve< Interpolator, Bootstrap >

Helper class to strip caplet/floorlet volatilities from the cap floor term volatilities of a CapFloorTermVolCurve.

Definition at line 36 of file piecewiseatmoptionletcurve.hpp.

Member Typedef Documentation

◆ optionlet_curve

typedef PiecewiseOptionletCurve<Interpolator,Bootstrap>::this_curve optionlet_curve

Definition at line 39 of file piecewiseatmoptionletcurve.hpp.

◆ helper

typedef QuantLib::BootstrapHelper<QuantLib::OptionletVolatilityStructure> helper

private

Store the vector of ATM cap floor helpers that are used in the bootstrap.

Definition at line 144 of file piecewiseatmoptionletcurve.hpp.

Constructor & Destructor Documentation

◆ PiecewiseAtmOptionletCurve() [1/2]

PiecewiseAtmOptionletCurve	(	QuantLib::Natural	settlementDays,
		const QuantLib::ext::shared_ptr< CapFloorTermVolCurve > &	cftvc,
		const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &	index,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discount,
		bool	flatFirstPeriod = `true`,
		const QuantLib::VolatilityType	capFloorVolType = `QuantLib::ShiftedLognormal`,
		const QuantLib::Real	capFloorVolDisplacement = `0.0`,
		const boost::optional< QuantLib::VolatilityType >	optionletVolType = `boost::none`,
		const boost::optional< QuantLib::Real >	optionletVolDisplacement = `boost::none`,
		bool	interpOnOptionlets = `true`,
		const Interpolator &	i = `Interpolator()`,
		const Bootstrap< optionlet_curve > &	bootstrap = `Bootstrap<optionlet_curve>()`
	)

Definition at line 156 of file piecewiseatmoptionletcurve.hpp.

    : QuantLib::OptionletVolatilityStructure(settlementDays, cftvc->calendar(), cftvc->businessDayConvention(),
                                             cftvc->dayCounter()),
      cftvc_(cftvc), flatFirstPeriod_(flatFirstPeriod), capFloorVolType_(capFloorVolType),
      capFloorVolDisplacement_(capFloorVolDisplacement),
      volatilityType_(optionletVolType ? *optionletVolType : capFloorVolType),
      displacement_(optionletVolDisplacement ? *optionletVolDisplacement : 0.0),
      interpOnOptionlets_(interpOnOptionlets), interpolator_(i), bootstrap_(bootstrap), tenors_(cftvc_->optionTenors()),
      helpers_(tenors_.size()), quotes_(tenors_.size()) {
 
    initialise(index, discount);
 
    curve_ = QuantLib::ext::make_shared<optionlet_curve>(settlementDays, helpers_, cftvc_->calendar(),
                                                 cftvc_->businessDayConvention(), cftvc_->dayCounter(), volatilityType_,
                                                 displacement_, flatFirstPeriod_, interpolator_, bootstrap_);
}

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◆ PiecewiseAtmOptionletCurve() [2/2]

PiecewiseAtmOptionletCurve	(	const QuantLib::Date &	referenceDate,
		const QuantLib::ext::shared_ptr< CapFloorTermVolCurve > &	cftvc,
		const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &	index,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discount,
		bool	flatFirstPeriod = `true`,
		const QuantLib::VolatilityType	capFloorVolType = `QuantLib::ShiftedLognormal`,
		const QuantLib::Real	capFloorVolDisplacement = `0.0`,
		const boost::optional< QuantLib::VolatilityType >	optionletVolType = `boost::none`,
		const boost::optional< QuantLib::Real >	optionletVolDisplacement = `boost::none`,
		bool	interpOnOptionlets = `true`,
		const Interpolator &	i = `Interpolator()`,
		const Bootstrap< optionlet_curve > &	bootstrap = `Bootstrap<optionlet_curve>()`
	)

Definition at line 180 of file piecewiseatmoptionletcurve.hpp.

    : QuantLib::OptionletVolatilityStructure(referenceDate, cftvc->calendar(), cftvc->businessDayConvention(),
                                             cftvc->dayCounter()),
      cftvc_(cftvc), flatFirstPeriod_(flatFirstPeriod), capFloorVolType_(capFloorVolType),
      capFloorVolDisplacement_(capFloorVolDisplacement),
      volatilityType_(optionletVolType ? *optionletVolType : capFloorVolType),
      displacement_(optionletVolDisplacement ? *optionletVolDisplacement : 0.0),
      interpOnOptionlets_(interpOnOptionlets), interpolator_(i), bootstrap_(bootstrap), tenors_(cftvc_->optionTenors()),
      helpers_(tenors_.size()), quotes_(tenors_.size()) {
 
    initialise(index, discount);
 
    curve_ = QuantLib::ext::make_shared<optionlet_curve>(referenceDate, helpers_, cftvc_->calendar(),
                                                 cftvc_->businessDayConvention(), cftvc_->dayCounter(), volatilityType_,
                                                 displacement_, flatFirstPeriod_, interpolator_, bootstrap_);
}

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Member Function Documentation

◆ capFloorVolType()

QuantLib::VolatilityType capFloorVolType ( ) const

Volatility type for the underlying ATM cap floor curve.

Definition at line 67 of file piecewiseatmoptionletcurve.hpp.

67{ return capFloorVolType_; }

◆ capFloorVolDisplacement()

QuantLib::Real capFloorVolDisplacement ( ) const

The applicable shift if the underlying ATM cap floor curve has shifted lognormal volatility.

Definition at line 70 of file piecewiseatmoptionletcurve.hpp.

70{ return capFloorVolDisplacement_; }

◆ update()

void update

override

Definition at line 204 of file piecewiseatmoptionletcurve.hpp.

                                                                 {
 
    LazyObject::update();
 
    if (this->moving_)
        this->updated_ = false;
}

◆ performCalculations()

void performCalculations

override

Definition at line 213 of file piecewiseatmoptionletcurve.hpp.

                                                                                    {
 
    // Update the quotes from the cap floor term volatility surface
    for (QuantLib::Size i = 0; i < tenors_.size(); i++) {
        quotes_[i]->setValue(cftvc_->volatility(tenors_[i], 0.01));
    }
}

◆ maxDate()

QuantLib::Date maxDate

override

Definition at line 222 of file piecewiseatmoptionletcurve.hpp.

                                                                                {
    calculate();
    return curve_->maxDate();
}

◆ minStrike()

QuantLib::Rate minStrike

override

Definition at line 228 of file piecewiseatmoptionletcurve.hpp.

                                                                                  {
    calculate();
    return curve_->minStrike();
}

◆ maxStrike()

QuantLib::Rate maxStrike

override

Definition at line 234 of file piecewiseatmoptionletcurve.hpp.

                                                                                  {
    calculate();
    return curve_->maxStrike();
}

◆ volatilityType()

QuantLib::VolatilityType volatilityType

override

Definition at line 240 of file piecewiseatmoptionletcurve.hpp.

                                                                                                 {
    return volatilityType_;
}

◆ displacement()

QuantLib::Real displacement

override

Definition at line 245 of file piecewiseatmoptionletcurve.hpp.

                                                                                     {
    return displacement_;
}

◆ curve()

QuantLib::ext::shared_ptr< typename PiecewiseAtmOptionletCurve< Interpolator, Bootstrap >::optionlet_curve > curve

The underlying optionlet curve.

Definition at line 251 of file piecewiseatmoptionletcurve.hpp.

                                                                 {
    calculate();
    return curve_;
}

◆ smileSectionImpl()

QuantLib::ext::shared_ptr< QuantLib::SmileSection > smileSectionImpl ( QuantLib::Time optionTime ) const

overrideprotected

Definition at line 258 of file piecewiseatmoptionletcurve.hpp.

                                                                                                   {
    calculate();
    return curve_->smileSection(optionTime, true);
}

◆ volatilityImpl()

QuantLib::Volatility volatilityImpl	(	QuantLib::Time	optionTime,
		QuantLib::Rate	strike
	)		const

overrideprotected

Definition at line 264 of file piecewiseatmoptionletcurve.hpp.

                                                                                                                    {
    calculate();
    return curve_->volatility(optionTime, 0.01, true);
}

◆ initialise()

void initialise	(	const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &	index,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discount
	)

private

Shared initialisation.

Definition at line 271 of file piecewiseatmoptionletcurve.hpp.

                                                                {
 
    // Readability
    using QuantLib::Handle;
    using QuantLib::Null;
    using QuantLib::Period;
    using QuantLib::Quote;
    using QuantLib::Rate;
    using QuantLib::Real;
    using QuantLib::SimpleQuote;
    using QuantLib::Size;
    using std::vector;
 
    // Observe the underlying cap floor term volatility curve
    registerWith(cftvc_);
 
    // If the term structure is not moving, ensure that the cap floor helpers are not moving and are set up with the
    // correct effective date relative to the reference date. Mimic logic in MakeCapFloor here.
    Date effectiveDate;
    if (!this->moving_) {
        Calendar cal = index->fixingCalendar();
        Date ref = referenceDate();
        ref = cal.adjust(ref);
        effectiveDate = cal.advance(ref, index->fixingDays() * Days);
    }
 
    // Number of tenors, helpers and quotes depends on whether we are interpolating on optionlet volatilities or
    // cap floor term volatilities
    if (!interpOnOptionlets_) {
 
        // We are interpolating on the cap floor term volatilities
        Period indexTenor = index->tenor();
        Period maxCapFloorTenor = tenors_.back();
 
        // Add tenor of first cap floor - 2 x index tenor since first optionlet is excluded
        tenors_.clear();
        tenors_.push_back(indexTenor + indexTenor);
        QL_REQUIRE(maxCapFloorTenor >= tenors_.back(),
                   "First cap floor tenor, " << tenors_.back()
                                             << ", is greater than cap floor term vol surface's max tenor, "
                                             << maxCapFloorTenor);
 
        // Add all term cap floor instruments up to max tenor of term vol surface
        Period nextTenor = tenors_.back() + indexTenor;
        while (nextTenor <= maxCapFloorTenor) {
            tenors_.push_back(nextTenor);
            nextTenor += indexTenor;
        }
 
        // Resize the helpers and quotes vectors
        quotes_.resize(tenors_.size());
        helpers_.resize(tenors_.size());
    }
 
    // Initialise the quotes and helpers
    for (Size i = 0; i < tenors_.size(); i++) {
        quotes_[i] = QuantLib::ext::make_shared<SimpleQuote>(cftvc_->volatility(tenors_[i], 0.01));
        helpers_[i] = QuantLib::ext::make_shared<CapFloorHelper>(
            CapFloorHelper::Cap, tenors_[i], Null<Real>(), Handle<Quote>(quotes_[i]), index, discount, this->moving_,
            effectiveDate, CapFloorHelper::Volatility, capFloorVolType_, capFloorVolDisplacement_);
    }
}

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Member Data Documentation

◆ cftvc_

QuantLib::ext::shared_ptr<CapFloorTermVolCurve> cftvc_

private

The underlying ATM cap floor term volatility curve.

Definition at line 111 of file piecewiseatmoptionletcurve.hpp.

◆ flatFirstPeriod_

bool flatFirstPeriod_

private

Flat optionlet volatility before first optionlet fixing date.

Definition at line 114 of file piecewiseatmoptionletcurve.hpp.

◆ capFloorVolType_

QuantLib::VolatilityType capFloorVolType_

private

Volatility type for the underlying ATM cap floor volatility curve.

Definition at line 117 of file piecewiseatmoptionletcurve.hpp.

◆ capFloorVolDisplacement_

QuantLib::Real capFloorVolDisplacement_

private

The applicable shift if the underlying ATM cap floor volatility curve has shifted lognormal volatility.

Definition at line 120 of file piecewiseatmoptionletcurve.hpp.

◆ volatilityType_

QuantLib::VolatilityType volatilityType_

private

This optionlet structure's volatility type.

Definition at line 123 of file piecewiseatmoptionletcurve.hpp.

◆ displacement_

QuantLib::Real displacement_

private

This optionlet structure's shift if its volatility type is shifted lognormal.

Definition at line 126 of file piecewiseatmoptionletcurve.hpp.

◆ interpOnOptionlets_

bool interpOnOptionlets_

private

True to interpolate on optionlet volatilities, false to interpolate on cap floor term volatilities.

Definition at line 129 of file piecewiseatmoptionletcurve.hpp.

◆ interpolator_

Interpolator interpolator_

private

The interpolator.

Definition at line 132 of file piecewiseatmoptionletcurve.hpp.

◆ bootstrap_

Bootstrap<optionlet_curve> bootstrap_

private

The bootstrapper.

Definition at line 135 of file piecewiseatmoptionletcurve.hpp.

◆ curve_

QuantLib::ext::shared_ptr<optionlet_curve> curve_

private

The stripped optionlet curve.

Definition at line 138 of file piecewiseatmoptionletcurve.hpp.

◆ tenors_

std::vector<QuantLib::Period> tenors_

private

Store the helper tenors.

Definition at line 141 of file piecewiseatmoptionletcurve.hpp.

◆ helpers_

std::vector<QuantLib::ext::shared_ptr<helper> > helpers_

private

Definition at line 145 of file piecewiseatmoptionletcurve.hpp.

◆ quotes_

std::vector<QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> > quotes_

private

Store the ATM cap floor curve quotes.

Definition at line 148 of file piecewiseatmoptionletcurve.hpp.

Public Types

Public Member Functions

OptionletVolatilityStructure interface

Detailed Description

Member Typedef Documentation

◆ optionlet_curve

◆ helper

Constructor & Destructor Documentation

◆ PiecewiseAtmOptionletCurve() [1/2]

◆ PiecewiseAtmOptionletCurve() [2/2]

Member Function Documentation

◆ capFloorVolType()

◆ capFloorVolDisplacement()

◆ update()

◆ performCalculations()

◆ maxDate()

◆ minStrike()

◆ maxStrike()

◆ volatilityType()

◆ displacement()

◆ curve()

◆ smileSectionImpl()

◆ volatilityImpl()

◆ initialise()

Member Data Documentation

◆ cftvc_

◆ flatFirstPeriod_

◆ capFloorVolType_

◆ capFloorVolDisplacement_

◆ volatilityType_

◆ displacement_

◆ interpOnOptionlets_

◆ interpolator_

◆ bootstrap_

◆ curve_

◆ tenors_

◆ helpers_

◆ quotes_