YoYCapFloorHelper Class Reference

#include <qle/models/yoycapfloorhelper.hpp>

Inheritance diagram for YoYCapFloorHelper:

Collaboration diagram for YoYCapFloorHelper:

Public Member Functions
	YoYCapFloorHelper (const QuantLib::Handle< QuantLib::Quote > &premium, QuantLib::YoYInflationCapFloor::Type type, QuantLib::Rate strike, QuantLib::Natural settlementDays, const QuantLib::Period &tenor, const QuantLib::ext::shared_ptr< QuantLib::YoYInflationIndex > &yoyIndex, const QuantLib::Period &observationLag, const QuantLib::Calendar &yoyCalendar, QuantLib::BusinessDayConvention yoyConvention, const QuantLib::DayCounter &yoyDayCount, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, const QuantLib::Period &yoyTenor=1 *QuantLib::Years)
CalibrationHelper interface
QuantLib::Real	calibrationError () override
Observer interface
void	update () override

YoYCapFloorHelper inspectors
QuantLib::Handle< QuantLib::Quote >	premium_
	The market price quote for the YoY cap floor. More...
QuantLib::ext::shared_ptr< QuantLib::YoYInflationCapFloor >	yoyCapFloor_
	The underlying YoY cap floor. More...
QuantLib::ext::shared_ptr< QuantLib::PricingEngine >	engine_
	The pricing engine used to value the YoY swap. More...
QuantLib::Date	evaluationDate_
QuantLib::YoYInflationCapFloor::Type	type_
QuantLib::Rate	strike_
QuantLib::Natural	settlementDays_
QuantLib::Period	tenor_
QuantLib::ext::shared_ptr< QuantLib::YoYInflationIndex >	yoyIndex_
QuantLib::Period	observationLag_
QuantLib::Calendar	yoyCalendar_
QuantLib::BusinessDayConvention	yoyConvention_
QuantLib::DayCounter	yoyDayCount_
QuantLib::Calendar	paymentCalendar_
QuantLib::BusinessDayConvention	paymentConvention_
QuantLib::Period	yoyTenor_
QuantLib::ext::shared_ptr< QuantLib::YoYInflationCapFloor >	yoyCapFloor () const
void	setPricingEngine (const QuantLib::ext::shared_ptr< QuantLib::PricingEngine > &engine)
	Set the pricing engine to be used by the underlying YoY cap floor. More...
QuantLib::Real	marketValue () const
	Return the market premium value. More...
QuantLib::Real	modelValue () const
	Return the model value. More...
void	createCapFloor ()
	Create the underlying YoY cap floor. More...

Detailed Description

Year on year (YoY) inflation cap floor calibration helper.

Definition at line 35 of file yoycapfloorhelper.hpp.

Constructor & Destructor Documentation

YoYCapFloorHelper()

YoYCapFloorHelper	(	const QuantLib::Handle< QuantLib::Quote > &	premium,
		QuantLib::YoYInflationCapFloor::Type	type,
		QuantLib::Rate	strike,
		QuantLib::Natural	settlementDays,
		const QuantLib::Period &	tenor,
		const QuantLib::ext::shared_ptr< QuantLib::YoYInflationIndex > &	yoyIndex,
		const QuantLib::Period &	observationLag,
		const QuantLib::Calendar &	yoyCalendar,
		QuantLib::BusinessDayConvention	yoyConvention,
		const QuantLib::DayCounter &	yoyDayCount,
		const QuantLib::Calendar &	paymentCalendar,
		QuantLib::BusinessDayConvention	paymentConvention,
		const QuantLib::Period &	yoyTenor = 1 * QuantLib::Years
	)

Definition at line 46 of file yoycapfloorhelper.cpp.

    : premium_(premium),
      evaluationDate_(Settings::instance().evaluationDate()),
      type_(type),
      strike_(strike),
      settlementDays_(settlementDays),
      tenor_(tenor),
      yoyIndex_(yoyIndex),
      observationLag_(observationLag),
      yoyCalendar_(yoyCalendar),
      yoyConvention_(yoyConvention),
      yoyDayCount_(yoyDayCount),
      paymentCalendar_(paymentCalendar),
      paymentConvention_(paymentConvention),
      yoyTenor_(yoyTenor) {
 
    registerWith(premium_);
    registerWith(Settings::instance().evaluationDate());
    registerWith(yoyIndex_);
 
    createCapFloor();
}

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Member Function Documentation

calibrationError()

Real calibrationError ( )

override

Definition at line 81 of file yoycapfloorhelper.cpp.

                                         {
    yoyCapFloor_->setPricingEngine(engine_);
    return premium_->value() - yoyCapFloor_->NPV();
}

update()

void update ( )

override

Definition at line 86 of file yoycapfloorhelper.cpp.

                               {
    if (evaluationDate_ != Settings::instance().evaluationDate()) {
        evaluationDate_ = Settings::instance().evaluationDate();
        createCapFloor();
    }
    notifyObservers();
}

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yoyCapFloor()

QuantLib::ext::shared_ptr< YoYInflationCapFloor > yoyCapFloor

(

)

const

Definition at line 94 of file yoycapfloorhelper.cpp.

                                                                                 {
    return yoyCapFloor_;
}

setPricingEngine()

void setPricingEngine

(

const QuantLib::ext::shared_ptr< QuantLib::PricingEngine > &

engine

)

Set the pricing engine to be used by the underlying YoY cap floor.

Definition at line 98 of file yoycapfloorhelper.cpp.

                                                                                           {
    engine_ = engine;
}

marketValue()

QuantLib::Real marketValue

(

)

const

Return the market premium value.

Definition at line 102 of file yoycapfloorhelper.cpp.

                                                  {
    return premium_->value();
}

modelValue()

QuantLib::Real modelValue

(

)

const

Return the model value.

Definition at line 106 of file yoycapfloorhelper.cpp.

                                                 {
    yoyCapFloor_->setPricingEngine(engine_);
    return yoyCapFloor_->NPV();
}

createCapFloor()

void createCapFloor ( )

private

Create the underlying YoY cap floor.

Definition at line 111 of file yoycapfloorhelper.cpp.

                                       {
 
    // YoY cap floor start date and end date.
    auto start = yoyCalendar_.advance(evaluationDate_, settlementDays_ * Days);
    auto end = start + tenor_;
 
    // YoY leg schedule.
    Schedule yoySchedule(start, end, yoyTenor_, yoyCalendar_, yoyConvention_,
        yoyConvention_, DateGeneration::Backward, false);
 
    // YoY leg.
    Leg yoyLeg = yoyInflationLeg(yoySchedule, paymentCalendar_, yoyIndex_, observationLag_)
        .withNotionals(1.0)
        .withPaymentDayCounter(yoyDayCount_)
        .withPaymentAdjustment(paymentConvention_);
 
    // YoY cap floor.
    vector<Rate> strikes{ strike_ };
    yoyCapFloor_ = QuantLib::ext::make_shared<YoYInflationCapFloor>(type_, yoyLeg, strikes);
}

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Member Data Documentation

premium_

QuantLib::Handle<QuantLib::Quote> premium_

private

The market price quote for the YoY cap floor.

Definition at line 80 of file yoycapfloorhelper.hpp.

yoyCapFloor_

QuantLib::ext::shared_ptr<QuantLib::YoYInflationCapFloor> yoyCapFloor_

private

The underlying YoY cap floor.

Definition at line 83 of file yoycapfloorhelper.hpp.

engine_

QuantLib::ext::shared_ptr<QuantLib::PricingEngine> engine_

private

The pricing engine used to value the YoY swap.

Definition at line 86 of file yoycapfloorhelper.hpp.

evaluationDate_

QuantLib::Date evaluationDate_

private

Definition at line 89 of file yoycapfloorhelper.hpp.

type_

QuantLib::YoYInflationCapFloor::Type type_

private

Definition at line 90 of file yoycapfloorhelper.hpp.

strike_

QuantLib::Rate strike_

private

Definition at line 91 of file yoycapfloorhelper.hpp.

settlementDays_

QuantLib::Natural settlementDays_

private

Definition at line 92 of file yoycapfloorhelper.hpp.

tenor_

QuantLib::Period tenor_

private

Definition at line 93 of file yoycapfloorhelper.hpp.

yoyIndex_

QuantLib::ext::shared_ptr<QuantLib::YoYInflationIndex> yoyIndex_

private

Definition at line 94 of file yoycapfloorhelper.hpp.

observationLag_

QuantLib::Period observationLag_

private

Definition at line 95 of file yoycapfloorhelper.hpp.

yoyCalendar_

QuantLib::Calendar yoyCalendar_

private

Definition at line 96 of file yoycapfloorhelper.hpp.

yoyConvention_

QuantLib::BusinessDayConvention yoyConvention_

private

Definition at line 97 of file yoycapfloorhelper.hpp.

yoyDayCount_

QuantLib::DayCounter yoyDayCount_

private

Definition at line 98 of file yoycapfloorhelper.hpp.

paymentCalendar_

QuantLib::Calendar paymentCalendar_

private

Definition at line 99 of file yoycapfloorhelper.hpp.

paymentConvention_

QuantLib::BusinessDayConvention paymentConvention_

private

Definition at line 100 of file yoycapfloorhelper.hpp.

yoyTenor_

QuantLib::Period yoyTenor_

private

Definition at line 101 of file yoycapfloorhelper.hpp.