QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <swaptionpseudojacobian.hpp>
Public Member Functions | |
CapPseudoDerivative (const ext::shared_ptr< MarketModel > &inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF) | |
const Matrix & | volatilityDerivative (Size i) const |
const Matrix & | priceDerivative (Size i) const |
Real | impliedVolatility () const |
Private Attributes | |
ext::shared_ptr< MarketModel > | inputModel_ |
std::vector< Matrix > | volatilityDerivatives_ |
std::vector< Matrix > | priceDerivatives_ |
Real | impliedVolatility_ |
Real | vega_ |
Real | firstDF_ |
In order to compute market vegas, we need a class that gives the derivative of a cap implied vol against changes in pseudo-root elements. This is that class.
The operation is non-trivial because the cap implied vol has a complicated relationship with the caplet implied vols.
This is tested in the pathwise vegas routine in MarketModels.cpp
Definition at line 78 of file swaptionpseudojacobian.hpp.
CapPseudoDerivative | ( | const ext::shared_ptr< MarketModel > & | inputModel, |
Real | strike, | ||
Size | startIndex, | ||
Size | endIndex, | ||
Real | firstDF | ||
) |
Definition at line 232 of file swaptionpseudojacobian.cpp.
Definition at line 367 of file swaptionpseudojacobian.cpp.
Definition at line 362 of file swaptionpseudojacobian.cpp.
Real impliedVolatility | ( | ) | const |
Definition at line 374 of file swaptionpseudojacobian.cpp.
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private |
Definition at line 96 of file swaptionpseudojacobian.hpp.
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Definition at line 98 of file swaptionpseudojacobian.hpp.
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Definition at line 100 of file swaptionpseudojacobian.hpp.
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Definition at line 102 of file swaptionpseudojacobian.hpp.
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Definition at line 103 of file swaptionpseudojacobian.hpp.
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Definition at line 104 of file swaptionpseudojacobian.hpp.