#include <qle/termstructures/piecewiseoptionletstripper.hpp>

Inheritance diagram for PiecewiseOptionletStripper< Interpolator, Bootstrap >:

Collaboration diagram for PiecewiseOptionletStripper< Interpolator, Bootstrap >:

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

Public Member Functions
	PiecewiseOptionletStripper (const QuantLib::ext::shared_ptr< QuantExt::CapFloorTermVolSurface > &capFloorSurface, 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< 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 >(), const Period &rateComputationPeriod=0 *Days, const Size onCapSettlementDays=0)

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

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

Public Member Functions inherited from OptionletStripper
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

LazyObject interface
typedef QuantLib::BootstrapHelper< QuantLib::OptionletVolatilityStructure >	helper
	Store the vector of helpers for each strike column. The first dimension is strike and second is option tenor. More...

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

QuantLib::VolatilityType	capFloorVolType_
	Volatility type for the underlying cap floor matrix. More...

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

std::vector< QuantLib::ext::shared_ptr< optionlet_curve > >	strikeCurves_
	A one-dimensional optionlet curve for each strike in the underlying cap floor matrix. More...

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

std::vector< std::vector< QuantLib::ext::shared_ptr< QuantLib::SimpleQuote > > >	quotes_
	Store the cap floor surface quotes. The first dimension is option tenor and second is strike. More...

void	performCalculations () const override

Additional Inherited Members
Protected Member Functions inherited from 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)

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

Protected Attributes inherited from OptionletStripper
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_

Detailed Description

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

Helper class to strip optionlet (i.e. caplet/floorlet) volatilities from the cap floor term volatilities of a CapFloorTermVolSurface.

Definition at line 37 of file piecewiseoptionletstripper.hpp.

Member Typedef Documentation

◆ optionlet_curve

typedef PiecewiseOptionletCurve<Interpolator,Bootstrap>::this_curve optionlet_curve

Definition at line 40 of file piecewiseoptionletstripper.hpp.

◆ helper

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

private

Store the vector of helpers for each strike column. The first dimension is strike and second is option tenor.

Definition at line 90 of file piecewiseoptionletstripper.hpp.

Constructor & Destructor Documentation

◆ PiecewiseOptionletStripper()

PiecewiseOptionletStripper	(	const QuantLib::ext::shared_ptr< QuantExt::CapFloorTermVolSurface > &	capFloorSurface,
		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< 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>()`,
		const Period &	rateComputationPeriod = `0 * Days`,
		const Size	onCapSettlementDays = `0`
	)

Definition at line 98 of file piecewiseoptionletstripper.hpp.

    : OptionletStripper(capFloorSurface, index, discount, optionletVolType ? *optionletVolType : capFloorVolType,
                        optionletVolDisplacement ? *optionletVolDisplacement : 0.0, rateComputationPeriod,
                        onCapSettlementDays),
      flatFirstPeriod_(flatFirstPeriod), capFloorVolType_(capFloorVolType),
      capFloorVolDisplacement_(capFloorVolDisplacement), interpOnOptionlets_(interpOnOptionlets), interpolator_(i),
      bootstrap_(bootstrap), strikeCurves_(nStrikes_), helpers_(nStrikes_) {
 
    // Readability
    // typedef QuantLib::BootstrapHelper<QuantLib::OptionletVolatilityStructure> helper;
    using QuantLib::Handle;
    using QuantLib::Period;
    using QuantLib::Quote;
    using QuantLib::SimpleQuote;
    using QuantLib::Size;
    using std::vector;
 
    vector<Rate> strikes = termVolSurface_->strikes();
 
    bool isOis = QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(index) != nullptr;
 
    // If we interpolate on term volatility surface first and then bootstrap, we have a cap floor helper for every
    // optionlet maturity.
    vector<Period> tenors = interpOnOptionlets_ ? termVolSurface_->optionTenors() : capFloorLengths_;
    quotes_.resize(tenors.size());
 
    // Initialise the quotes and helpers
    for (Size j = 0; j < strikes.size(); j++) {
        for (Size i = 0; i < tenors.size(); i++) {
            quotes_[i].push_back(QuantLib::ext::make_shared<SimpleQuote>(termVolSurface_->volatility(tenors[i], strikes[j])));
        if(isOis) {
                Date effDate = index_->fixingCalendar().advance(
                    index_->fixingCalendar().adjust(capFloorSurface->referenceDate()), onCapSettlementDays_ * Days);
                helpers_[j].push_back(QuantLib::ext::make_shared<OISCapFloorHelper>(
                    CapFloorHelper::Automatic, tenors[i], rateComputationPeriod_, strikes[j],
                    Handle<Quote>(quotes_[i].back()), QuantLib::ext::dynamic_pointer_cast<OvernightIndex>(index_), discount_,
                    false, effDate, CapFloorHelper::Volatility, capFloorVolType_, capFloorVolDisplacement_));
            } else {
                helpers_[j].push_back(QuantLib::ext::make_shared<CapFloorHelper>(
                    CapFloorHelper::Automatic, tenors[i], strikes[j], Handle<Quote>(quotes_[i].back()), index_,
                    discount_, true, Date(), CapFloorHelper::Volatility, capFloorVolType_, capFloorVolDisplacement_));
            }
        }
    }
}

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Member Function Documentation

◆ capFloorVolType()

QuantLib::VolatilityType capFloorVolType ( ) const

Volatility type for the underlying cap floor matrix.

Definition at line 57 of file piecewiseoptionletstripper.hpp.

57{ return capFloorVolType_; }

◆ capFloorVolDisplacement()

QuantLib::Real capFloorVolDisplacement ( ) const

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

Definition at line 60 of file piecewiseoptionletstripper.hpp.

60{ return capFloorVolDisplacement_; }

◆ performCalculations()

void performCalculations

override

Definition at line 151 of file piecewiseoptionletstripper.hpp.

                                                                                           {
 
    // Some localised typedefs and using declarations to make the code more readable
    using QuantLib::Period;
    using QuantLib::Rate;
    using QuantLib::Size;
    using std::vector;
 
    // Update dates
    populateDates();
 
    // Readability
    vector<Rate> strikes = termVolSurface_->strikes();
    vector<Period> tenors = interpOnOptionlets_ ? termVolSurface_->optionTenors() : capFloorLengths_;
 
    // Update the quotes from the cap floor term volatility surface
    for (Size i = 0; i < tenors.size(); i++) {
        for (Size j = 0; j < strikes.size(); j++) {
            quotes_[i][j]->setValue(termVolSurface_->volatility(tenors[i], strikes[j]));
        }
    }
 
    // Populate the strike curves
    for (Size j = 0; j < strikes.size(); j++) {
        strikeCurves_[j] = QuantLib::ext::make_shared<optionlet_curve>(
            termVolSurface_->referenceDate(), helpers_[j], termVolSurface_->calendar(),
            termVolSurface_->businessDayConvention(), termVolSurface_->dayCounter(), volatilityType_, displacement_,
            flatFirstPeriod_, interpolator_, bootstrap_);
    }
 
    // Populate the optionlet volatilities and standard deviations
    for (Size j = 0; j < strikes.size(); j++) {
        for (Size i = 0; i < nOptionletTenors_; ++i) {
            optionletVolatilities_[i][j] = strikeCurves_[j]->volatility(optionletDates_[i], strikes[j]);
        }
    }
}

Member Data Documentation

◆ flatFirstPeriod_

bool flatFirstPeriod_

private

Flat optionlet volatility before first optionlet fixing date.

Definition at line 69 of file piecewiseoptionletstripper.hpp.

◆ capFloorVolType_

QuantLib::VolatilityType capFloorVolType_

private

Volatility type for the underlying cap floor matrix.

Definition at line 72 of file piecewiseoptionletstripper.hpp.

◆ capFloorVolDisplacement_

QuantLib::Real capFloorVolDisplacement_

private

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

Definition at line 75 of file piecewiseoptionletstripper.hpp.

◆ interpOnOptionlets_

bool interpOnOptionlets_

private

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

Definition at line 78 of file piecewiseoptionletstripper.hpp.

◆ interpolator_

Interpolator interpolator_

private

The interpolator.

Definition at line 81 of file piecewiseoptionletstripper.hpp.

◆ bootstrap_

Bootstrap<optionlet_curve> bootstrap_

private

The bootstrapper.

Definition at line 84 of file piecewiseoptionletstripper.hpp.

◆ strikeCurves_

std::vector<QuantLib::ext::shared_ptr<optionlet_curve> > strikeCurves_

mutableprivate

A one-dimensional optionlet curve for each strike in the underlying cap floor matrix.

Definition at line 87 of file piecewiseoptionletstripper.hpp.

◆ helpers_

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

private

Definition at line 91 of file piecewiseoptionletstripper.hpp.

◆ quotes_

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

private

Store the cap floor surface quotes. The first dimension is option tenor and second is strike.

Definition at line 94 of file piecewiseoptionletstripper.hpp.

Public Types

Public Member Functions

LazyObject interface

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ optionlet_curve

◆ helper

Constructor & Destructor Documentation

◆ PiecewiseOptionletStripper()

Member Function Documentation

◆ capFloorVolType()

◆ capFloorVolDisplacement()

◆ performCalculations()

Member Data Documentation

◆ flatFirstPeriod_

◆ capFloorVolType_

◆ capFloorVolDisplacement_

◆ interpOnOptionlets_

◆ interpolator_

◆ bootstrap_

◆ strikeCurves_

◆ helpers_

◆ quotes_