calibration helper for interest-rate swaptions More...

#include <swaptionhelper.hpp>

Inheritance diagram for SwaptionHelper:

Collaboration diagram for SwaptionHelper:

Public Member Functions
	SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, ext::shared_ptr< IborIndex > index, const Period &fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle< YieldTermStructure > termStructure, CalibrationErrorType errorType=RelativePriceError, Real strike=Null< Real >(), Real nominal=1.0, VolatilityType type=ShiftedLognormal, Real shift=0.0, Natural settlementDays=Null< Size >(), RateAveraging::Type averagingMethod=RateAveraging::Compound)

	SwaptionHelper (const Date &exerciseDate, const Period &length, const Handle< Quote > &volatility, ext::shared_ptr< IborIndex > index, const Period &fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle< YieldTermStructure > termStructure, CalibrationErrorType errorType=RelativePriceError, Real strike=Null< Real >(), Real nominal=1.0, VolatilityType type=ShiftedLognormal, Real shift=0.0, Natural settlementDays=Null< Size >(), RateAveraging::Type averagingMethod=RateAveraging::Compound)

	SwaptionHelper (const Date &exerciseDate, const Date &endDate, const Handle< Quote > &volatility, ext::shared_ptr< IborIndex > index, const Period &fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle< YieldTermStructure > termStructure, CalibrationErrorType errorType=RelativePriceError, Real strike=Null< Real >(), Real nominal=1.0, VolatilityType type=ShiftedLognormal, Real shift=0.0, Natural settlementDays=Null< Size >(), RateAveraging::Type averagingMethod=RateAveraging::Compound)

void	addTimesTo (std::list< Time > &times) const override

Real	modelValue () const override
	returns the price of the instrument according to the model More...

Real	blackPrice (Volatility volatility) const override
	Black or Bachelier price given a volatility. More...

const ext::shared_ptr< FixedVsFloatingSwap > &	underlying () const

ext::shared_ptr< VanillaSwap >	underlyingSwap () const

ext::shared_ptr< Swaption >	swaption () const

Public Member Functions inherited from BlackCalibrationHelper
	BlackCalibrationHelper (Handle< Quote > volatility, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)

void	performCalculations () const override

Handle< Quote >	volatility () const
	returns the volatility Handle More...

VolatilityType	volatilityType () const
	returns the volatility type More...

Real	marketValue () const
	returns the actual price of the instrument (from volatility) More...

virtual Real	modelValue () const =0
	returns the price of the instrument according to the model More...

Real	calibrationError () override
	returns the error resulting from the model valuation More...

virtual void	addTimesTo (std::list< Time > &times) const =0

Volatility	impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
	Black volatility implied by the model. More...

virtual Real	blackPrice (Volatility volatility) const =0
	Black or Bachelier price given a volatility. More...

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &engine)

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from CalibrationHelper
virtual	~CalibrationHelper ()=default

virtual Real	calibrationError ()=0
	returns the error resulting from the model valuation More...

Private Member Functions
void	performCalculations () const override

ext::shared_ptr< FixedVsFloatingSwap >	makeSwap (Schedule fixedSchedule, Schedule floatSchedule, Rate exerciseRate, Swap::Type type) const

Private Attributes
Date	exerciseDate_

Date	endDate_

const Period	maturity_

const Period	length_

const Period	fixedLegTenor_

const ext::shared_ptr< IborIndex >	index_

const Handle< YieldTermStructure >	termStructure_

const DayCounter	fixedLegDayCounter_

const DayCounter	floatingLegDayCounter_

const Real	strike_

const Real	nominal_

const Natural	settlementDays_

const RateAveraging::Type	averagingMethod_

Rate	exerciseRate_

ext::shared_ptr< FixedVsFloatingSwap >	swap_

ext::shared_ptr< Swaption >	swaption_

Additional Inherited Members
Public Types inherited from BlackCalibrationHelper
enum	CalibrationErrorType { RelativePriceError , PriceError , ImpliedVolError }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Attributes inherited from BlackCalibrationHelper
Real	marketValue_

Handle< Quote >	volatility_

ext::shared_ptr< PricingEngine >	engine_

const VolatilityType	volatilityType_

const Real	shift_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

calibration helper for interest-rate swaptions

Warning:: passing an overnight index to the constructor will result in an overnight-indexed swap being built, but model-based engines will treat it as a vanilla swap. This is at best a decent proxy, at worst simply wrong. Use with caution.

Definition at line 42 of file swaptionhelper.hpp.

Constructor & Destructor Documentation

◆ SwaptionHelper() [1/3]

SwaptionHelper	(	const Period &	maturity,
		const Period &	length,
		const Handle< Quote > &	volatility,
		ext::shared_ptr< IborIndex >	index,
		const Period &	fixedLegTenor,
		DayCounter	fixedLegDayCounter,
		DayCounter	floatingLegDayCounter,
		Handle< YieldTermStructure >	termStructure,
		CalibrationErrorType	errorType = `RelativePriceError`,
		Real	strike = `Null<Real>()`,
		Real	nominal = `1.0`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`,
		Natural	settlementDays = `Null<Size>()`,
		RateAveraging::Type	averagingMethod = `RateAveraging::Compound`
	)

Definition at line 35 of file swaptionhelper.cpp.

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◆ SwaptionHelper() [2/3]

SwaptionHelper	(	const Date &	exerciseDate,
		const Period &	length,
		const Handle< Quote > &	volatility,
		ext::shared_ptr< IborIndex >	index,
		const Period &	fixedLegTenor,
		DayCounter	fixedLegDayCounter,
		DayCounter	floatingLegDayCounter,
		Handle< YieldTermStructure >	termStructure,
		CalibrationErrorType	errorType = `RelativePriceError`,
		Real	strike = `Null<Real>()`,
		Real	nominal = `1.0`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`,
		Natural	settlementDays = `Null<Size>()`,
		RateAveraging::Type	averagingMethod = `RateAveraging::Compound`
	)

Definition at line 60 of file swaptionhelper.cpp.

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◆ SwaptionHelper() [3/3]

SwaptionHelper	(	const Date &	exerciseDate,
		const Date &	endDate,
		const Handle< Quote > &	volatility,
		ext::shared_ptr< IborIndex >	index,
		const Period &	fixedLegTenor,
		DayCounter	fixedLegDayCounter,
		DayCounter	floatingLegDayCounter,
		Handle< YieldTermStructure >	termStructure,
		CalibrationErrorType	errorType = `RelativePriceError`,
		Real	strike = `Null<Real>()`,
		Real	nominal = `1.0`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`,
		Natural	settlementDays = `Null<Size>()`,
		RateAveraging::Type	averagingMethod = `RateAveraging::Compound`
	)

Definition at line 85 of file swaptionhelper.cpp.

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Member Function Documentation

◆ addTimesTo()

void addTimesTo ( std::list< Time > & times ) const

overridevirtual

Implements BlackCalibrationHelper.

Definition at line 111 of file swaptionhelper.cpp.

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◆ modelValue()

Real modelValue ( ) const

overridevirtual

returns the price of the instrument according to the model

Implements BlackCalibrationHelper.

Definition at line 123 of file swaptionhelper.cpp.

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◆ blackPrice()

Real blackPrice ( Volatility volatility ) const

overridevirtual

Black or Bachelier price given a volatility.

Implements BlackCalibrationHelper.

Definition at line 129 of file swaptionhelper.cpp.

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◆ underlying()

const ext::shared_ptr< FixedVsFloatingSwap > & underlying ( ) const

Definition at line 96 of file swaptionhelper.hpp.

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◆ underlyingSwap()

ext::shared_ptr< VanillaSwap > underlyingSwap ( ) const

Deprecated:: Use the SwaptionHelper::underlying method instead. Deprecated in version 1.34.

Definition at line 104 of file swaptionhelper.hpp.

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◆ swaption()

ext::shared_ptr< Swaption > swaption ( ) const

Definition at line 110 of file swaptionhelper.hpp.

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◆ performCalculations()

void performCalculations ( ) const

overrideprivatevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Reimplemented from BlackCalibrationHelper.

Definition at line 152 of file swaptionhelper.cpp.

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◆ makeSwap()

ext::shared_ptr< FixedVsFloatingSwap > makeSwap	(	Schedule	fixedSchedule,
		Schedule	floatSchedule,
		Rate	exerciseRate,
		Swap::Type	type
	)		const

private

Definition at line 201 of file swaptionhelper.cpp.

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Member Data Documentation

◆ exerciseDate_

Date exerciseDate_

mutableprivate

Definition at line 118 of file swaptionhelper.hpp.

◆ endDate_

Date endDate_

private

Definition at line 118 of file swaptionhelper.hpp.

◆ maturity_

const Period maturity_

private

Definition at line 119 of file swaptionhelper.hpp.

◆ length_

const Period length_

private

Definition at line 119 of file swaptionhelper.hpp.

◆ fixedLegTenor_

const Period fixedLegTenor_

private

Definition at line 119 of file swaptionhelper.hpp.

◆ index_

const ext::shared_ptr<IborIndex> index_

private

Definition at line 120 of file swaptionhelper.hpp.

◆ termStructure_

const Handle<YieldTermStructure> termStructure_

private

Definition at line 121 of file swaptionhelper.hpp.

◆ fixedLegDayCounter_

const DayCounter fixedLegDayCounter_

private

Definition at line 122 of file swaptionhelper.hpp.

◆ floatingLegDayCounter_

const DayCounter floatingLegDayCounter_

private

Definition at line 122 of file swaptionhelper.hpp.

◆ strike_

const Real strike_

private

Definition at line 123 of file swaptionhelper.hpp.

◆ nominal_

const Real nominal_

private

Definition at line 123 of file swaptionhelper.hpp.

◆ settlementDays_

const Natural settlementDays_

private

Definition at line 124 of file swaptionhelper.hpp.

◆ averagingMethod_

const RateAveraging::Type averagingMethod_

private

Definition at line 125 of file swaptionhelper.hpp.

◆ exerciseRate_

Rate exerciseRate_

mutableprivate

Definition at line 126 of file swaptionhelper.hpp.

◆ swap_

ext::shared_ptr<FixedVsFloatingSwap> swap_

mutableprivate

Definition at line 127 of file swaptionhelper.hpp.

◆ swaption_

ext::shared_ptr<Swaption> swaption_

mutableprivate

Definition at line 128 of file swaptionhelper.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SwaptionHelper() [1/3]

◆ SwaptionHelper() [2/3]

◆ SwaptionHelper() [3/3]

Member Function Documentation

◆ addTimesTo()

◆ modelValue()

◆ blackPrice()

◆ underlying()

◆ underlyingSwap()

◆ swaption()

◆ performCalculations()

◆ makeSwap()

Member Data Documentation

◆ exerciseDate_

◆ endDate_

◆ maturity_

◆ length_

◆ fixedLegTenor_

◆ index_

◆ termStructure_

◆ fixedLegDayCounter_

◆ floatingLegDayCounter_

◆ strike_

◆ nominal_

◆ settlementDays_

◆ averagingMethod_

◆ exerciseRate_

◆ swap_

◆ swaption_