ProxyOptionletVolatility Class Reference

#include <qle/termstructures/proxyoptionletvolatility.hpp>

Inheritance diagram for ProxyOptionletVolatility:

Collaboration diagram for ProxyOptionletVolatility:

Public Member Functions
	ProxyOptionletVolatility (const QuantLib::Handle< OptionletVolatilityStructure > &baseVol, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &baseIndex, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &targetIndex, const QuantLib::Period &baseRateComputationPeriod=0 *QuantLib::Days, const QuantLib::Period &targetRateComputationPeriod=0 *QuantLib::Days)
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override
QuantLib::Date	maxDate () const override
const QuantLib::Date &	referenceDate () const override
VolatilityType	volatilityType () const override
Real	displacement () const override
Calendar	calendar () const override

Private Member Functions
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (const QuantLib::Date &optionDate) const override
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (QuantLib::Time optionTime) const override
QuantLib::Volatility	volatilityImpl (QuantLib::Time optionTime, QuantLib::Rate strike) const override

Private Attributes
QuantLib::Handle< QuantLib::OptionletVolatilityStructure >	baseVol_
QuantLib::ext::shared_ptr< QuantLib::IborIndex >	baseIndex_
QuantLib::ext::shared_ptr< QuantLib::IborIndex >	targetIndex_
QuantLib::Period	baseRateComputationPeriod_
QuantLib::Period	targetRateComputationPeriod_

Detailed Description

Definition at line 30 of file proxyoptionletvolatility.hpp.

Constructor & Destructor Documentation

ProxyOptionletVolatility()

ProxyOptionletVolatility	(	const QuantLib::Handle< OptionletVolatilityStructure > &	baseVol,
		const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &	baseIndex,
		const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &	targetIndex,
		const QuantLib::Period &	baseRateComputationPeriod = 0 * QuantLib::Days,
		const QuantLib::Period &	targetRateComputationPeriod = 0 * QuantLib::Days
	)

Definition at line 46 of file proxyoptionletvolatility.cpp.

    : OptionletVolatilityStructure(baseVol->businessDayConvention(), baseVol->dayCounter()), baseVol_(baseVol),
      baseIndex_(baseIndex), targetIndex_(targetIndex), baseRateComputationPeriod_(baseRateComputationPeriod),
      targetRateComputationPeriod_(targetRateComputationPeriod) {
 
    QL_REQUIRE(baseIndex != nullptr, "ProxyOptionletVolatility: no base index given.");
    QL_REQUIRE(targetIndex != nullptr, "ProxyOptionletVolatility: no target index given.");
    QL_REQUIRE((!isOis(targetIndex_) && !isBMA(targetIndex)) || targetRateComputationPeriod != 0 * Days,
               "ProxyOptionletVolatility: target index is OIS or BMA/SIFMA ("
                   << targetIndex->name() << "), so targetRateComputationPeriod must be given and != 0D.");
    QL_REQUIRE((!isOis(baseIndex_) && !isBMA(baseIndex_)) || baseRateComputationPeriod != 0 * Days,
               "ProxyOptionletVolatility: base index is OIS or BMA/SIFMA ("
                   << baseIndex->name() << "), so baseRateComputationPeriod must be given and != 0D.");
    registerWith(baseVol_);
    registerWith(baseIndex_);
    registerWith(targetIndex_);
    enableExtrapolation(baseVol->allowsExtrapolation());
}

Member Function Documentation

minStrike()

QuantLib::Rate minStrike ( ) const

override

Definition at line 38 of file proxyoptionletvolatility.hpp.

{ return baseVol_->minStrike(); }

maxStrike()

QuantLib::Rate maxStrike ( ) const

override

Definition at line 39 of file proxyoptionletvolatility.hpp.

{ return baseVol_->maxStrike(); }

maxDate()

QuantLib::Date maxDate ( ) const

override

Definition at line 40 of file proxyoptionletvolatility.hpp.

{ return baseVol_->maxDate(); }

referenceDate()

const QuantLib::Date & referenceDate ( ) const

override

Definition at line 41 of file proxyoptionletvolatility.hpp.

{ return baseVol_->referenceDate(); }

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volatilityType()

VolatilityType volatilityType ( ) const

override

Definition at line 42 of file proxyoptionletvolatility.hpp.

{ return baseVol_->volatilityType(); }

displacement()

Real displacement ( ) const

override

Definition at line 43 of file proxyoptionletvolatility.hpp.

{ return baseVol_->displacement(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 44 of file proxyoptionletvolatility.hpp.

{ return baseVol_->calendar(); }

smileSectionImpl() [1/2]

QuantLib::ext::shared_ptr< QuantLib::SmileSection > smileSectionImpl ( const QuantLib::Date &  optionDate ) const

overrideprivate

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smileSectionImpl() [2/2]

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

overrideprivate

Definition at line 69 of file proxyoptionletvolatility.cpp.

                                                                                                                    {
    // imply a fixing date from the optionTime
    Date fixingDate = lowerDate(optionTime, referenceDate(), dayCounter());
    return smileSectionImpl(fixingDate);
}

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volatilityImpl()

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

overrideprivate

Definition at line 108 of file proxyoptionletvolatility.cpp.

                                                                                      {
    return smileSection(optionTime)->volatility(strike);
}

Member Data Documentation

baseVol_

QuantLib::Handle<QuantLib::OptionletVolatilityStructure> baseVol_

private

Definition at line 51 of file proxyoptionletvolatility.hpp.

baseIndex_

QuantLib::ext::shared_ptr<QuantLib::IborIndex> baseIndex_

private

Definition at line 52 of file proxyoptionletvolatility.hpp.

targetIndex_

QuantLib::ext::shared_ptr<QuantLib::IborIndex> targetIndex_

private

Definition at line 53 of file proxyoptionletvolatility.hpp.

baseRateComputationPeriod_

QuantLib::Period baseRateComputationPeriod_

private

Definition at line 54 of file proxyoptionletvolatility.hpp.

targetRateComputationPeriod_

QuantLib::Period targetRateComputationPeriod_

private

Definition at line 55 of file proxyoptionletvolatility.hpp.