PiecewiseOptionletCurve< Interpolator, Bootstrap > Class Template Reference

#include <qle/termstructures/piecewiseoptionletcurve.hpp>

Inheritance diagram for PiecewiseOptionletCurve< Interpolator, Bootstrap >:

Collaboration diagram for PiecewiseOptionletCurve< Interpolator, Bootstrap >:

Public Types
typedef PiecewiseOptionletCurve< Interpolator, Bootstrap >	this_curve
typedef QuantLib::BootstrapHelper< QuantLib::OptionletVolatilityStructure >	helper
typedef OptionletTraits	traits_type
	Bootstrap needs these typedefs. More...
typedef Interpolator	interpolator_type

Public Member Functions
Constructors
	PiecewiseOptionletCurve (const QuantLib::Date &referenceDate, const std::vector< QuantLib::ext::shared_ptr< helper > > &instruments, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &i=Interpolator(), const Bootstrap< this_curve > &bootstrap=Bootstrap< this_curve >())
	PiecewiseOptionletCurve (QuantLib::Natural settlementDays, const std::vector< QuantLib::ext::shared_ptr< helper > > &instruments, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &i=Interpolator(), const Bootstrap< this_curve > &bootstrap=Bootstrap< this_curve >())
TermStructure interface
QuantLib::Date	maxDate () const override
InterpolatedOptionletCurve interface
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Date > &	dates () const
const std::vector< QuantLib::Real > &	volatilities () const
std::vector< std::pair< QuantLib::Date, QuantLib::Real > >	nodes () const
Public Member Functions inherited from InterpolatedOptionletCurve< Interpolator >
	InterpolatedOptionletCurve (const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &volatilities, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, const QuantLib::Calendar &calendar=QuantLib::Calendar(), QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
QuantLib::Date	maxDate () const override
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override
QuantLib::VolatilityType	volatilityType () const override
QuantLib::Real	displacement () const override
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Date > &	dates () const
const std::vector< QuantLib::Real > &	volatilities () const
const std::vector< QuantLib::Real > &	data () const
std::vector< std::pair< QuantLib::Date, QuantLib::Real > >	nodes () const

Private Member Functions
LazyObject interface
void	performCalculations () const override

Observer interface
typedef InterpolatedOptionletCurve< Interpolator >	base_curve
void	update () override

OptionletVolatilityStructure interface
std::vector< QuantLib::ext::shared_ptr< helper > >	instruments_
	Vector of helper instruments to be matched. More...
QuantLib::Real	accuracy_
	Accuracy of the match. More...
Bootstrap< this_curve >	bootstrap_
class	Bootstrap< this_curve >
class	BootstrapError< this_curve >
class	PenaltyFunction< this_curve >
QuantLib::Real	volatilityImpl (QuantLib::Time optionTime, QuantLib::Rate strike) const override

Additional Inherited Members
Protected Member Functions inherited from InterpolatedOptionletCurve< Interpolator >
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (QuantLib::Time optionTime) const override
QuantLib::Real	volatilityImpl (QuantLib::Time optionTime, QuantLib::Rate strike) const override
	InterpolatedOptionletCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
	InterpolatedOptionletCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
	InterpolatedOptionletCurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
Protected Attributes inherited from InterpolatedOptionletCurve< Interpolator >
std::vector< QuantLib::Date >	dates_
	The fixing dates of the index underlying the optionlets. More...

Detailed Description

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

Definition at line 101 of file piecewiseoptionletcurve.hpp.

Member Typedef Documentation

this_curve

typedef PiecewiseOptionletCurve<Interpolator, Bootstrap> this_curve

Definition at line 104 of file piecewiseoptionletcurve.hpp.

helper

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

Definition at line 105 of file piecewiseoptionletcurve.hpp.

traits_type

typedef OptionletTraits traits_type

Bootstrap needs these typedefs.

Definition at line 108 of file piecewiseoptionletcurve.hpp.

interpolator_type

typedef Interpolator interpolator_type

Definition at line 109 of file piecewiseoptionletcurve.hpp.

base_curve

typedef InterpolatedOptionletCurve<Interpolator> base_curve

private

Definition at line 151 of file piecewiseoptionletcurve.hpp.

Constructor & Destructor Documentation

PiecewiseOptionletCurve() [1/2]

PiecewiseOptionletCurve	(	const QuantLib::Date &	referenceDate,
		const std::vector< QuantLib::ext::shared_ptr< helper > > &	instruments,
		const QuantLib::Calendar &	calendar,
		QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dayCounter,
		QuantLib::VolatilityType	volatilityType = QuantLib::Normal,
		QuantLib::Real	displacement = 0.0,
		bool	flatFirstPeriod = true,
		const Interpolator &	i = Interpolator(),
		const Bootstrap< this_curve > &	bootstrap = Bootstrap<this_curve>()
	)

Definition at line 178 of file piecewiseoptionletcurve.hpp.

    : base_curve(referenceDate, calendar, bdc, dayCounter, volatilityType, displacement, flatFirstPeriod, i),
      instruments_(instruments), accuracy_(1e-12), bootstrap_(bootstrap) {
    bootstrap_.setup(this);
}

PiecewiseOptionletCurve() [2/2]

PiecewiseOptionletCurve	(	QuantLib::Natural	settlementDays,
		const std::vector< QuantLib::ext::shared_ptr< helper > > &	instruments,
		const QuantLib::Calendar &	calendar,
		QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dayCounter,
		QuantLib::VolatilityType	volatilityType = QuantLib::Normal,
		QuantLib::Real	displacement = 0.0,
		bool	flatFirstPeriod = true,
		const Interpolator &	i = Interpolator(),
		const Bootstrap< this_curve > &	bootstrap = Bootstrap<this_curve>()
	)

Definition at line 189 of file piecewiseoptionletcurve.hpp.

    : base_curve(settlementDays, calendar, bdc, dayCounter, volatilityType, displacement, flatFirstPeriod, i),
      instruments_(instruments), accuracy_(1e-12), bootstrap_(bootstrap) {
    bootstrap_.setup(this);
}

Member Function Documentation

maxDate()

QuantLib::Date maxDate

override

Definition at line 200 of file piecewiseoptionletcurve.hpp.

                                                                                    {
    calculate();
    return base_curve::maxDate();
}

times()

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

Definition at line 206 of file piecewiseoptionletcurve.hpp.

                                                                                                    {
    calculate();
    return base_curve::times();
}

dates()

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

Definition at line 212 of file piecewiseoptionletcurve.hpp.

                                                                                                    {
    calculate();
    return base_curve::dates();
}

volatilities()

const std::vector< QuantLib::Real > & volatilities

Definition at line 218 of file piecewiseoptionletcurve.hpp.

                                                                                                           {
    calculate();
    return base_curve::volatilities();
}

nodes()

std::vector< std::pair< QuantLib::Date, QuantLib::Real > > nodes

Definition at line 225 of file piecewiseoptionletcurve.hpp.

                                                              {
    calculate();
    return base_curve::nodes();
}

update()

void update

override

Definition at line 231 of file piecewiseoptionletcurve.hpp.

                                                                     {
 
    // Derives from InterpolatedOptionletCurve and LazyObject, both of which are Observers and have their own
    // implementation of the virtual update() method.
 
    // Call LazyObject::update() to notify Observers but only when this PiecewiseOptionletCurve has been "calculated"
    // and it has not been "frozen"
    LazyObject::update();
 
    // Do not want to call TermStructure::update() here because it will notify all Observers regardless of whether
    // this PiecewiseOptionletCurve's "calculated" or "frozen" status i.e. defeating the purpose of LazyObject
 
    // We do not want to miss changes in Settings::instance().evaluationDate() if this TermStructure has a floating
    // reference date so we make sure that TermStructure::updated_ is set to false.
    if (this->moving_)
        this->updated_ = false;
}

performCalculations()

void performCalculations

overrideprivate

Definition at line 257 of file piecewiseoptionletcurve.hpp.

                                                                                        {
    // Perform the bootstrap
    bootstrap_.calculate();
}

volatilityImpl()

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

overrideprivate

Definition at line 250 of file piecewiseoptionletcurve.hpp.

                                                                                                                  {
    calculate();
    return base_curve::volatilityImpl(optionTime, strike);
}

Friends And Related Function Documentation

Bootstrap< this_curve >

friend class Bootstrap< this_curve >

friend

Definition at line 167 of file piecewiseoptionletcurve.hpp.

BootstrapError< this_curve >

friend class BootstrapError< this_curve >

friend

Definition at line 167 of file piecewiseoptionletcurve.hpp.

PenaltyFunction< this_curve >

friend class PenaltyFunction< this_curve >

friend

Definition at line 167 of file piecewiseoptionletcurve.hpp.

Member Data Documentation

instruments_

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

private

Vector of helper instruments to be matched.

Definition at line 164 of file piecewiseoptionletcurve.hpp.

accuracy_

QuantLib::Real accuracy_

private

Accuracy of the match.

Definition at line 167 of file piecewiseoptionletcurve.hpp.

bootstrap_

Bootstrap<this_curve> bootstrap_

private

Definition at line 174 of file piecewiseoptionletcurve.hpp.