#include <qle/termstructures/sabrstrippedoptionletadapter.hpp>

Inheritance diagram for SabrStrippedOptionletAdapter< TimeInterpolator >:

Collaboration diagram for SabrStrippedOptionletAdapter< TimeInterpolator >:

Public Member Functions
	SabrStrippedOptionletAdapter (const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > &sob, const QuantExt::SabrParametricVolatility::ModelVariant modelVariant, const TimeInterpolator &ti=TimeInterpolator(), const boost::optional< QuantLib::VolatilityType > outputVolatilityType=boost::none, const std::vector< std::vector< std::pair< Real, bool > > > &initialModelParameters={}, const QuantLib::Size maxCalibrationAttempts=10, const QuantLib::Real exitEarlyErrorThreshold=0.005, const QuantLib::Real maxAcceptableError=0.05)

	SabrStrippedOptionletAdapter (const QuantLib::Date &referenceDate, const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > &sob, const QuantExt::SabrParametricVolatility::ModelVariant modelVariant, const TimeInterpolator &ti=TimeInterpolator(), const boost::optional< QuantLib::VolatilityType > outputVolatilityType=boost::none, const std::vector< std::vector< std::pair< Real, bool > > > &initialModelParameters={}, const QuantLib::Size maxCalibrationAttempts=10, const QuantLib::Real exitEarlyErrorThreshold=0.005, const QuantLib::Real maxAcceptableError=0.05)

TermStructure interface
QuantLib::Date	maxDate () const override

VolatilityTermStructure interface
QuantLib::Rate	minStrike () const override

QuantLib::Rate	maxStrike () const override

LazyObject interface
void	update () override

void	performCalculations () const override

Observer interface
void	deepUpdate () override

Inspectors
QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase >	optionletBase () const

QuantLib::ext::shared_ptr< QuantExt::ParametricVolatility >	parametricVolatility () const

OptionletVolatilityStructure interface
QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase >	optionletBase_
	Base optionlet object that provides the stripped optionlet volatilities. More...

TimeInterpolator	ti_
	The interpolation object in the time direction. More...

QuantExt::SabrParametricVolatility::ModelVariant	modelVariant_
	SABR specific inputs. More...

boost::optional< QuantLib::VolatilityType >	outputVolatilityType_

std::vector< std::vector< std::pair< Real, bool > > >	initialModelParameters_

QuantLib::Size	maxCalibrationAttempts_

QuantLib::Real	exitEarlyErrorThreshold_

QuantLib::Real	maxAcceptableError_

std::map< Real, QuantLib::ext::shared_ptr< ParametricVolatilitySmileSection > >	cache_
	State. More...

QuantLib::ext::shared_ptr< ParametricVolatility >	parametricVolatility_

std::unique_ptr< FlatExtrapolation >	atmInterpolation_

QuantLib::VolatilityType	volatilityType () const override

QuantLib::Real	displacement () const override

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

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

Detailed Description

template<class TimeInterpolator>
class QuantExt::SabrStrippedOptionletAdapter< TimeInterpolator >

Definition at line 43 of file sabrstrippedoptionletadapter.hpp.

Constructor & Destructor Documentation

◆ SabrStrippedOptionletAdapter() [1/2]

SabrStrippedOptionletAdapter	(	const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > &	sob,
		const QuantExt::SabrParametricVolatility::ModelVariant	modelVariant,
		const TimeInterpolator &	ti = `TimeInterpolator()`,
		const boost::optional< QuantLib::VolatilityType >	outputVolatilityType = `boost::none`,
		const std::vector< std::vector< std::pair< Real, bool > > > &	initialModelParameters = `{}`,
		const QuantLib::Size	maxCalibrationAttempts = `10`,
		const QuantLib::Real	exitEarlyErrorThreshold = `0.005`,
		const QuantLib::Real	maxAcceptableError = `0.05`
	)

Constructor that does not take a reference date. The settlement days is derived from sob and the term structure will be a moving term structure.

Definition at line 135 of file sabrstrippedoptionletadapter.hpp.

    : OptionletVolatilityStructure(sob->settlementDays(), sob->calendar(), sob->businessDayConvention(),
                                   sob->dayCounter()),
      optionletBase_(sob), ti_(ti), modelVariant_(modelVariant), outputVolatilityType_(outputVolatilityType),
      initialModelParameters_(initialModelParameters), maxCalibrationAttempts_(maxCalibrationAttempts),
      exitEarlyErrorThreshold_(exitEarlyErrorThreshold), maxAcceptableError_(maxAcceptableError) {
    registerWith(optionletBase_);
}

◆ SabrStrippedOptionletAdapter() [2/2]

SabrStrippedOptionletAdapter	(	const QuantLib::Date &	referenceDate,
		const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > &	sob,
		const QuantExt::SabrParametricVolatility::ModelVariant	modelVariant,
		const TimeInterpolator &	ti = `TimeInterpolator()`,
		const boost::optional< QuantLib::VolatilityType >	outputVolatilityType = `boost::none`,
		const std::vector< std::vector< std::pair< Real, bool > > > &	initialModelParameters = `{}`,
		const QuantLib::Size	maxCalibrationAttempts = `10`,
		const QuantLib::Real	exitEarlyErrorThreshold = `0.005`,
		const QuantLib::Real	maxAcceptableError = `0.05`
	)

Constructor taking an explicit referenceDate and the term structure will therefore be not moving.

Definition at line 151 of file sabrstrippedoptionletadapter.hpp.

    : OptionletVolatilityStructure(referenceDate, sob->calendar(), sob->businessDayConvention(), sob->dayCounter()),
      optionletBase_(sob), ti_(ti), modelVariant_(modelVariant), outputVolatilityType_(outputVolatilityType),
      initialModelParameters_(initialModelParameters), maxCalibrationAttempts_(maxCalibrationAttempts),
      exitEarlyErrorThreshold_(exitEarlyErrorThreshold), maxAcceptableError_(maxAcceptableError) {
    registerWith(optionletBase_);
}

Member Function Documentation

◆ maxDate()

QuantLib::Date maxDate

override

Definition at line 166 of file sabrstrippedoptionletadapter.hpp.

                                                                                  {
    return Date::maxDate();
}

◆ minStrike()

QuantLib::Rate minStrike

override

Definition at line 171 of file sabrstrippedoptionletadapter.hpp.

                                                                                    {
    return -QL_MAX_REAL;
}

◆ maxStrike()

QuantLib::Rate maxStrike

override

Definition at line 176 of file sabrstrippedoptionletadapter.hpp.

                                                                                    {
    return QL_MAX_REAL;
}

◆ volatilityType()

QuantLib::VolatilityType volatilityType

override

Definition at line 181 of file sabrstrippedoptionletadapter.hpp.

                                                                                                   {
    return optionletBase_->volatilityType();
}

◆ displacement()

QuantLib::Real displacement

override

Definition at line 186 of file sabrstrippedoptionletadapter.hpp.

                                                                                       {
    return optionletBase_->displacement();
}

◆ update()

void update

override

Definition at line 190 of file sabrstrippedoptionletadapter.hpp.

                                                                                                     {
    optionletBase_->update();
    TermStructure::update();
    LazyObject::update();
}

◆ performCalculations()

void performCalculations

override

Definition at line 197 of file sabrstrippedoptionletadapter.hpp.

                                                                                      {
    cache_.clear();
 
    atmInterpolation_ = std::make_unique<FlatExtrapolation>(QuantLib::ext::make_shared<LinearInterpolation>(
        this->optionletBase()->optionletFixingTimes().begin(), this->optionletBase()->optionletFixingTimes().end(),
        this->optionletBase()->atmOptionletRates().begin()));
    atmInterpolation_->enableExtrapolation();
    atmInterpolation_->update();
 
    std::vector<ParametricVolatility::MarketSmile> marketSmiles;
    std::map<std::pair<QuantLib::Real, QuantLib::Real>, std::vector<std::pair<Real, bool>>> modelParameters;
    QL_REQUIRE(initialModelParameters_.empty() || initialModelParameters_.size() == 1 ||
                   initialModelParameters_.size() == this->optionletBase()->optionletFixingTimes().size(),
               "SabrStrippedOptionletAdapter: initial model parameters must be empty or their size ("
                   << initialModelParameters_.size()
                   << ") must be 1 or it must match the number of optionlet fixing times ("
                   << this->optionletBase()->optionletFixingTimes().size() << ")");
    for (Size i = 0; i < this->optionletBase()->optionletFixingTimes().size(); ++i) {
        Real forward = atmInterpolation_->operator()(this->optionletBase()->optionletFixingTimes()[i]);
        marketSmiles.push_back(ParametricVolatility::MarketSmile{this->optionletBase()->optionletFixingTimes()[i],
                                                                 Null<Real>(),
                                                                 forward,
                                                                 displacement(),
                                                                 {},
                                                                 this->optionletBase()->optionletStrikes(i),
                                                                 this->optionletBase()->optionletVolatilities(i)});
        if (!initialModelParameters_.empty()) {
            modelParameters[std::make_pair(this->optionletBase()->optionletFixingTimes()[i], Null<Real>())] =
                initialModelParameters_.size() == 1 ? initialModelParameters_.front() : initialModelParameters_[i];
        }
    }
 
    parametricVolatility_ = QuantLib::ext::make_shared<SabrParametricVolatility>(
        modelVariant_, marketSmiles, ParametricVolatility::MarketModelType::Black76,
        volatilityType() == QuantLib::Normal ? ParametricVolatility::MarketQuoteType::NormalVolatility
                                             : ParametricVolatility::MarketQuoteType::ShiftedLognormalVolatility,
        Handle<YieldTermStructure>(), modelParameters, maxCalibrationAttempts_, exitEarlyErrorThreshold_,
        maxAcceptableError_);
}

◆ deepUpdate()

void deepUpdate

override

Definition at line 237 of file sabrstrippedoptionletadapter.hpp.

                                                                                                         {
    optionletBase_->update();
    update();
}

◆ optionletBase()

QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > optionletBase

Definition at line 244 of file sabrstrippedoptionletadapter.hpp.

                                                                    {
    return optionletBase_;
}

◆ parametricVolatility()

QuantLib::ext::shared_ptr< QuantExt::ParametricVolatility > parametricVolatility ( ) const

Definition at line 101 of file sabrstrippedoptionletadapter.hpp.

                                                                                     {
        return parametricVolatility_;
    }

◆ smileSectionImpl()

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

overrideprotected

Definition at line 250 of file sabrstrippedoptionletadapter.hpp.

                                                                                              {
    calculate();
    if (auto c = cache_.find(optionTime); c != cache_.end()) {
        return c->second;
    }
    Real forward = atmInterpolation_->operator()(optionTime);
    QuantLib::VolatilityType outVolType = outputVolatilityType_ ? *outputVolatilityType_ : volatilityType();
    auto tmp = QuantLib::ext::make_shared<ParametricVolatilitySmileSection>(
        optionTime, Null<Real>(), forward, parametricVolatility_,
        outVolType == QuantLib::Normal ? ParametricVolatility::MarketQuoteType::NormalVolatility
                                       : ParametricVolatility::MarketQuoteType::ShiftedLognormalVolatility);
    cache_[optionTime] = tmp;
    return tmp;
}

◆ volatilityImpl()

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

overrideprotected

Definition at line 267 of file sabrstrippedoptionletadapter.hpp.

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