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Fully annotated reference manual - version 1.8.12
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Public Member Functions | Public Attributes | List of all members
CapFloorVolatilityEUR Struct Reference

#include <test/capfloormarketdata.hpp>

+ Collaboration diagram for CapFloorVolatilityEUR:

Public Member Functions

 CapFloorVolatilityEUR ()
 

Public Attributes

vector< Period > tenors
 
vector< Rate > strikes
 
Matrix nVols
 
Matrix slnVols_1
 
Matrix slnVols_2
 
Real shift_1
 
Real shift_2
 
vector< Period > atmTenors
 
vector< Volatility > nAtmVols
 
vector< Volatility > slnAtmVols_1
 
vector< Volatility > slnAtmVols_2
 

Detailed Description

Definition at line 39 of file capfloormarketdata.hpp.

Constructor & Destructor Documentation

◆ CapFloorVolatilityEUR()

CapFloorVolatilityEUR ( )

Definition at line 41 of file capfloormarketdata.hpp.

42 : tenors(5), strikes(6), nVols(tenors.size(), strikes.size(), 0.0), slnVols_1(nVols), slnVols_2(nVols),
43 shift_1(0.01), shift_2(0.015), atmTenors(6), nAtmVols(6), slnAtmVols_1(6), slnAtmVols_2(6) {
44
45 // Populate capfloor tenors
46 tenors[0] = Period(1, Years);
47 tenors[1] = Period(5, Years);
48 tenors[2] = Period(7, Years);
49 tenors[3] = Period(10, Years);
50 tenors[4] = Period(20, Years);
51
52 // Populate capfloor strikes
53 strikes[0] = -0.005;
54 strikes[1] = 0.0;
55 strikes[2] = 0.005;
56 strikes[3] = 0.01;
57 strikes[4] = 0.02;
58 strikes[5] = 0.03;
59
60 // Populate the capfloor normal volatility matrix
61 nVols[0][0] = 0.002457;
62 nVols[0][1] = 0.002667;
63 nVols[0][2] = 0.003953;
64 nVols[0][3] = 0.005144;
65 nVols[0][4] = 0.007629;
66 nVols[0][5] = 0.009938;
67 nVols[1][0] = 0.004757;
68 nVols[1][1] = 0.004573;
69 nVols[1][2] = 0.005362;
70 nVols[1][3] = 0.006090;
71 nVols[1][4] = 0.007442;
72 nVols[1][5] = 0.008805;
73 nVols[2][0] = 0.005462;
74 nVols[2][1] = 0.005337;
75 nVols[2][2] = 0.005826;
76 nVols[2][3] = 0.006369;
77 nVols[2][4] = 0.007391;
78 nVols[2][5] = 0.008431;
79 nVols[3][0] = 0.005970;
80 nVols[3][1] = 0.005910;
81 nVols[3][2] = 0.006144;
82 nVols[3][3] = 0.006395;
83 nVols[3][4] = 0.007082;
84 nVols[3][5] = 0.007767;
85 nVols[4][0] = 0.005873;
86 nVols[4][1] = 0.005988;
87 nVols[4][2] = 0.006102;
88 nVols[4][3] = 0.006220;
89 nVols[4][4] = 0.006609;
90 nVols[4][5] = 0.006973;
91
92 // Populate the shifted lognormal volatility matrix, shift = 1%
93 slnVols_1[0][0] = 0.354048;
94 slnVols_1[0][1] = 0.275908;
95 slnVols_1[0][2] = 0.331131;
96 slnVols_1[0][3] = 0.367941;
97 slnVols_1[0][4] = 0.431984;
98 slnVols_1[0][5] = 0.473055;
99 slnVols_1[1][0] = 0.629394;
100 slnVols_1[1][1] = 0.429765;
101 slnVols_1[1][2] = 0.408771;
102 slnVols_1[1][3] = 0.397830;
103 slnVols_1[1][4] = 0.387533;
104 slnVols_1[1][5] = 0.387566;
105 slnVols_1[2][0] = 0.660362;
106 slnVols_1[2][1] = 0.459424;
107 slnVols_1[2][2] = 0.402383;
108 slnVols_1[2][3] = 0.371339;
109 slnVols_1[2][4] = 0.334462;
110 slnVols_1[2][5] = 0.317835;
111 slnVols_1[3][0] = 0.646952;
112 slnVols_1[3][1] = 0.457781;
113 slnVols_1[3][2] = 0.381007;
114 slnVols_1[3][3] = 0.332858;
115 slnVols_1[3][4] = 0.285027;
116 slnVols_1[3][5] = 0.261010;
117 slnVols_1[4][0] = 0.581476;
118 slnVols_1[4][1] = 0.420004;
119 slnVols_1[4][2] = 0.344897;
120 slnVols_1[4][3] = 0.298501;
121 slnVols_1[4][4] = 0.250767;
122 slnVols_1[4][5] = 0.223903;
123
124 // Populate the shifted lognormal volatility matrix, shift = 1.5%
125 slnVols_2[0][0] = 0.204022;
126 slnVols_2[0][1] = 0.181767;
127 slnVols_2[0][2] = 0.232378;
128 slnVols_2[0][3] = 0.268359;
129 slnVols_2[0][4] = 0.329940;
130 slnVols_2[0][5] = 0.371421;
131 slnVols_2[1][0] = 0.368526;
132 slnVols_2[1][1] = 0.290783;
133 slnVols_2[1][2] = 0.294452;
134 slnVols_2[1][3] = 0.297475;
135 slnVols_2[1][4] = 0.302807;
136 slnVols_2[1][5] = 0.310822;
137 slnVols_2[2][0] = 0.395097;
138 slnVols_2[2][1] = 0.317747;
139 slnVols_2[2][2] = 0.297146;
140 slnVols_2[2][3] = 0.285691;
141 slnVols_2[2][4] = 0.270621;
142 slnVols_2[2][5] = 0.264740;
143 slnVols_2[3][0] = 0.396368;
144 slnVols_2[3][1] = 0.324204;
145 slnVols_2[3][2] = 0.288276;
146 slnVols_2[3][3] = 0.262625;
147 slnVols_2[3][4] = 0.236265;
148 slnVols_2[3][5] = 0.222242;
149 slnVols_2[4][0] = 0.357254;
150 slnVols_2[4][1] = 0.301862;
151 slnVols_2[4][2] = 0.265140;
152 slnVols_2[4][3] = 0.238823;
153 slnVols_2[4][4] = 0.209753;
154 slnVols_2[4][5] = 0.191882;
155
156 // ATM volatility curves (Normal, Shifted Lognormal (1%), Shifted Lognormal (1.5%))
157 atmTenors[0] = Period(1, Years);
158 nAtmVols[0] = 0.002610;
159 slnAtmVols_1[0] = 0.279001;
160 slnAtmVols_2[0] = 0.181754;
161 atmTenors[1] = Period(2, Years);
162 nAtmVols[1] = 0.002972;
163 slnAtmVols_1[1] = 0.265115;
164 slnAtmVols_2[1] = 0.183202;
165 atmTenors[2] = Period(5, Years);
166 nAtmVols[2] = 0.005200;
167 slnAtmVols_1[2] = 0.453827;
168 slnAtmVols_2[2] = 0.314258;
169 atmTenors[3] = Period(7, Years);
170 nAtmVols[3] = 0.005800;
171 slnAtmVols_1[3] = 0.418210;
172 slnAtmVols_2[3] = 0.305215;
173 atmTenors[4] = Period(10, Years);
174 nAtmVols[4] = 0.006300;
175 slnAtmVols_1[4] = 0.359696;
176 slnAtmVols_2[4] = 0.277812;
177 atmTenors[5] = Period(20, Years);
178 nAtmVols[5] = 0.006400;
179 slnAtmVols_1[5] = 0.295877;
180 slnAtmVols_2[5] = 0.238554;
181 }

Member Data Documentation

◆ tenors

vector<Period> tenors

Definition at line 184 of file capfloormarketdata.hpp.

◆ strikes

vector<Rate> strikes

Definition at line 185 of file capfloormarketdata.hpp.

◆ nVols

Matrix nVols

Definition at line 186 of file capfloormarketdata.hpp.

◆ slnVols_1

Matrix slnVols_1

Definition at line 187 of file capfloormarketdata.hpp.

◆ slnVols_2

Matrix slnVols_2

Definition at line 188 of file capfloormarketdata.hpp.

◆ shift_1

Real shift_1

Definition at line 189 of file capfloormarketdata.hpp.

◆ shift_2

Real shift_2

Definition at line 190 of file capfloormarketdata.hpp.

◆ atmTenors

vector<Period> atmTenors

Definition at line 191 of file capfloormarketdata.hpp.

◆ nAtmVols

vector<Volatility> nAtmVols

Definition at line 192 of file capfloormarketdata.hpp.

◆ slnAtmVols_1

vector<Volatility> slnAtmVols_1

Definition at line 193 of file capfloormarketdata.hpp.

◆ slnAtmVols_2

vector<Volatility> slnAtmVols_2

Definition at line 194 of file capfloormarketdata.hpp.

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