calibration helper for ATM swaption More...

#include <ql/models/shortrate/calibrationhelpers/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, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError, Real strike=Null< Real >(), Real nominal=1.0, VolatilityType type=ShiftedLognormal, Real shift=0.0)

	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, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError, Real strike=Null< Real >(), Real nominal=1.0, VolatilityType type=ShiftedLognormal, Real shift=0.0)

	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, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError, Real strike=Null< Real >(), Real nominal=1.0, VolatilityType type=ShiftedLognormal, Real shift=0.0)

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...

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

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_

Rate	exerciseRate_

ext::shared_ptr< VanillaSwap >	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 ATM swaption

Definition at line 36 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,
		BlackCalibrationHelper::CalibrationErrorType	errorType = `BlackCalibrationHelper::RelativePriceError`,
		Real	strike = `Null<Real>()`,
		Real	nominal = `1.0`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`
	)

Definition at line 33 of file swaptionhelper.cpp.

Here is the call graph for this function:

◆ 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,
		BlackCalibrationHelper::CalibrationErrorType	errorType = `BlackCalibrationHelper::RelativePriceError`,
		Real	strike = `Null<Real>()`,
		Real	nominal = `1.0`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`
	)

Definition at line 55 of file swaptionhelper.cpp.

Here is the call graph for this function:

◆ 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,
		BlackCalibrationHelper::CalibrationErrorType	errorType = `BlackCalibrationHelper::RelativePriceError`,
		Real	strike = `Null<Real>()`,
		Real	nominal = `1.0`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`
	)

Definition at line 77 of file swaptionhelper.cpp.

Here is the call graph for this function:

Member Function Documentation

◆ addTimesTo()

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

overridevirtual

Implements BlackCalibrationHelper.

Definition at line 100 of file swaptionhelper.cpp.

Here is the call graph for this function:

◆ modelValue()

Real modelValue ( ) const

overridevirtual

returns the price of the instrument according to the model

Implements BlackCalibrationHelper.

Definition at line 112 of file swaptionhelper.cpp.

Here is the call graph for this function:

◆ blackPrice()

Real blackPrice ( Volatility volatility ) const

overridevirtual

Black or Bachelier price given a volatility.

Implements BlackCalibrationHelper.

Definition at line 118 of file swaptionhelper.cpp.

Here is the call graph for this function:

◆ underlyingSwap()

ext::shared_ptr< VanillaSwap > underlyingSwap ( ) const

Definition at line 87 of file swaptionhelper.hpp.

Here is the call graph for this function:

◆ swaption()

ext::shared_ptr< Swaption > swaption ( ) const

Definition at line 88 of file swaptionhelper.hpp.

Here is the call graph for this function:

◆ 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 141 of file swaptionhelper.cpp.

Here is the call graph for this function:

Member Data Documentation

◆ exerciseDate_

Date exerciseDate_

mutableprivate

Definition at line 92 of file swaptionhelper.hpp.

◆ endDate_

Date endDate_

private

Definition at line 92 of file swaptionhelper.hpp.

◆ maturity_

const Period maturity_

private

Definition at line 93 of file swaptionhelper.hpp.

◆ length_

const Period length_

private

Definition at line 93 of file swaptionhelper.hpp.

◆ fixedLegTenor_

const Period fixedLegTenor_

private

Definition at line 93 of file swaptionhelper.hpp.

◆ index_

const ext::shared_ptr<IborIndex> index_

private

Definition at line 94 of file swaptionhelper.hpp.

◆ termStructure_

const Handle<YieldTermStructure> termStructure_

private

Definition at line 95 of file swaptionhelper.hpp.

◆ fixedLegDayCounter_

const DayCounter fixedLegDayCounter_

private

Definition at line 96 of file swaptionhelper.hpp.

◆ floatingLegDayCounter_

const DayCounter floatingLegDayCounter_

private

Definition at line 96 of file swaptionhelper.hpp.

◆ strike_

const Real strike_

private

Definition at line 97 of file swaptionhelper.hpp.

◆ nominal_

const Real nominal_

private

Definition at line 97 of file swaptionhelper.hpp.

◆ exerciseRate_

Rate exerciseRate_

mutableprivate

Definition at line 98 of file swaptionhelper.hpp.

◆ swap_

ext::shared_ptr<VanillaSwap> swap_

mutableprivate

Definition at line 99 of file swaptionhelper.hpp.

◆ swaption_

ext::shared_ptr<Swaption> swaption_

mutableprivate

Definition at line 100 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()

◆ underlyingSwap()

◆ swaption()

◆ performCalculations()

Member Data Documentation

◆ exerciseDate_

◆ endDate_

◆ maturity_

◆ length_

◆ fixedLegTenor_

◆ index_

◆ termStructure_

◆ fixedLegDayCounter_

◆ floatingLegDayCounter_

◆ strike_

◆ nominal_

◆ exerciseRate_

◆ swap_

◆ swaption_