#include <strippedoptionlet.hpp>

Inheritance diagram for StrippedOptionlet:

Collaboration diagram for StrippedOptionlet:

Public Member Functions
	StrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, ext::shared_ptr< IborIndex > iborIndex, const std::vector< Date > &optionletDates, const std::vector< Rate > &strikes, std::vector< std::vector< Handle< Quote > > >, DayCounter dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0)

	StrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, ext::shared_ptr< IborIndex > iborIndex, const std::vector< Date > &optionletDates, const std::vector< std::vector< Rate > > &strikes, std::vector< std::vector< Handle< Quote > > >, DayCounter dc, VolatilityType type=ShiftedLognormal, Real displacement=0.0)

virtual const std::vector< Rate > &	optionletStrikes (Size i) const =0

virtual const std::vector< Volatility > &	optionletVolatilities (Size i) const =0

virtual const std::vector< Date > &	optionletFixingDates () const =0

virtual const std::vector< Time > &	optionletFixingTimes () const =0

virtual Size	optionletMaturities () const =0

virtual const std::vector< Rate > &	atmOptionletRates () const =0

virtual DayCounter	dayCounter () const =0

virtual Calendar	calendar () const =0

virtual Natural	settlementDays () const =0

virtual BusinessDayConvention	businessDayConvention () const =0

virtual VolatilityType	volatilityType () const =0

virtual Real	displacement () const =0

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 ()

StrippedOptionletBase interface
Calendar	calendar_

Natural	settlementDays_

BusinessDayConvention	businessDayConvention_

DayCounter	dc_

ext::shared_ptr< IborIndex >	iborIndex_

VolatilityType	type_

Real	displacement_

Size	nOptionletDates_

std::vector< Date >	optionletDates_

std::vector< Time >	optionletTimes_

std::vector< Rate >	optionletAtmRates_

std::vector< std::vector< Rate > >	optionletStrikes_

std::vector< std::vector< Handle< Quote > > >	optionletVolQuotes_

std::vector< std::vector< Volatility > >	optionletVolatilities_

const std::vector< Rate > &	optionletStrikes (Size i) const override

const std::vector< Volatility > &	optionletVolatilities (Size i) const override

const std::vector< Date > &	optionletFixingDates () const override

const std::vector< Time > &	optionletFixingTimes () const override

Size	optionletMaturities () const override

const std::vector< Rate > &	atmOptionletRates () const override

DayCounter	dayCounter () const override

Calendar	calendar () const override

Natural	settlementDays () const override

BusinessDayConvention	businessDayConvention () const override

VolatilityType	volatilityType () const override

Real	displacement () const override

void	checkInputs () const

void	registerWithMarketData ()

void	performCalculations () const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

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

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Helper class to wrap in a StrippedOptionletBase object a matrix of exogenously calculated optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities).

Definition at line 39 of file strippedoptionlet.hpp.

Constructor & Destructor Documentation

◆ StrippedOptionlet() [1/2]

StrippedOptionlet	(	Natural	settlementDays,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		ext::shared_ptr< IborIndex >	iborIndex,
		const std::vector< Date > &	optionletDates,
		const std::vector< Rate > &	strikes,
		std::vector< std::vector< Handle< Quote > > >	v,
		DayCounter	dc,
		VolatilityType	type = `ShiftedLognormal`,
		Real	displacement = `0.0`
	)

Definition at line 32 of file strippedoptionlet.cpp.

◆ StrippedOptionlet() [2/2]

StrippedOptionlet	(	Natural	settlementDays,
		const Calendar &	calendar,
		BusinessDayConvention	bdc,
		ext::shared_ptr< IborIndex >	iborIndex,
		const std::vector< Date > &	optionletDates,
		const std::vector< std::vector< Rate > > &	strikes,
		std::vector< std::vector< Handle< Quote > > >	v,
		DayCounter	dc,
		VolatilityType	type = `ShiftedLognormal`,
		Real	displacement = `0.0`
	)

Definition at line 53 of file strippedoptionlet.cpp.

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Member Function Documentation

◆ optionletStrikes()

const vector< Rate > & optionletStrikes ( Size i ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 129 of file strippedoptionlet.cpp.

◆ optionletVolatilities()

const vector< Volatility > & optionletVolatilities ( Size i ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 138 of file strippedoptionlet.cpp.

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◆ optionletFixingDates()

const vector< Date > & optionletFixingDates ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 147 of file strippedoptionlet.cpp.

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◆ optionletFixingTimes()

const vector< Time > & optionletFixingTimes ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 152 of file strippedoptionlet.cpp.

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◆ optionletMaturities()

Size optionletMaturities ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 157 of file strippedoptionlet.cpp.

◆ atmOptionletRates()

const vector< Time > & atmOptionletRates ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 161 of file strippedoptionlet.cpp.

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◆ dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 168 of file strippedoptionlet.cpp.

◆ calendar()

Calendar calendar ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 172 of file strippedoptionlet.cpp.

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◆ settlementDays()

Natural settlementDays ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 176 of file strippedoptionlet.cpp.

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◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 180 of file strippedoptionlet.cpp.

◆ volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 184 of file strippedoptionlet.cpp.

◆ displacement()

Real displacement ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 188 of file strippedoptionlet.cpp.

◆ checkInputs()

void checkInputs ( ) const

private

Definition at line 84 of file strippedoptionlet.cpp.

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◆ registerWithMarketData()

void registerWithMarketData ( )

private

Definition at line 117 of file strippedoptionlet.cpp.

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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.

Implements LazyObject.

Definition at line 123 of file strippedoptionlet.cpp.

Member Data Documentation

◆ calendar_

Calendar calendar_

private

Definition at line 85 of file strippedoptionlet.hpp.

◆ settlementDays_

Natural settlementDays_

private

Definition at line 86 of file strippedoptionlet.hpp.

◆ businessDayConvention_

BusinessDayConvention businessDayConvention_

private

Definition at line 87 of file strippedoptionlet.hpp.

◆ dc_

DayCounter dc_

private

Definition at line 88 of file strippedoptionlet.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 89 of file strippedoptionlet.hpp.

◆ type_

VolatilityType type_

private

Definition at line 90 of file strippedoptionlet.hpp.

◆ displacement_

Real displacement_

private

Definition at line 91 of file strippedoptionlet.hpp.

◆ nOptionletDates_

Size nOptionletDates_

private

Definition at line 93 of file strippedoptionlet.hpp.

◆ optionletDates_

std::vector<Date> optionletDates_

private

Definition at line 94 of file strippedoptionlet.hpp.

◆ optionletTimes_

std::vector<Time> optionletTimes_

private

Definition at line 95 of file strippedoptionlet.hpp.

◆ optionletAtmRates_

std::vector<Rate> optionletAtmRates_

mutableprivate

Definition at line 96 of file strippedoptionlet.hpp.

◆ optionletStrikes_

std::vector<std::vector<Rate> > optionletStrikes_

private

Definition at line 97 of file strippedoptionlet.hpp.

◆ optionletVolQuotes_

std::vector<std::vector<Handle<Quote> > > optionletVolQuotes_

private

Definition at line 99 of file strippedoptionlet.hpp.

◆ optionletVolatilities_

std::vector<std::vector<Volatility> > optionletVolatilities_

mutableprivate

Definition at line 100 of file strippedoptionlet.hpp.

Public Member Functions

StrippedOptionletBase interface

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ StrippedOptionlet() [1/2]

◆ StrippedOptionlet() [2/2]

Member Function Documentation

◆ optionletStrikes()

◆ optionletVolatilities()

◆ optionletFixingDates()

◆ optionletFixingTimes()

◆ optionletMaturities()

◆ atmOptionletRates()

◆ dayCounter()

◆ calendar()

◆ settlementDays()

◆ businessDayConvention()

◆ volatilityType()

◆ displacement()

◆ checkInputs()

◆ registerWithMarketData()

◆ performCalculations()

Member Data Documentation

◆ calendar_

◆ settlementDays_

◆ businessDayConvention_

◆ dc_

◆ iborIndex_

◆ type_

◆ displacement_

◆ nOptionletDates_

◆ optionletDates_

◆ optionletTimes_

◆ optionletAtmRates_

◆ optionletStrikes_

◆ optionletVolQuotes_

◆ optionletVolatilities_