OptionletStripper2 Class Reference

#include <optionletstripper2.hpp>

Inheritance diagram for OptionletStripper2:

Collaboration diagram for OptionletStripper2:

Classes
class	ObjectiveFunction

Public Member Functions
	OptionletStripper2 (const ext::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve)
std::vector< Rate >	atmCapFloorStrikes () const
std::vector< Real >	atmCapFloorPrices () const
std::vector< Volatility >	spreadsVol () const
Public Member Functions inherited from OptionletStripper
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
const std::vector< Period > &	optionletFixingTenors () const
const std::vector< Date > &	optionletPaymentDates () const
const std::vector< Time > &	optionletAccrualPeriods () const
ext::shared_ptr< CapFloorTermVolSurface >	termVolSurface () const
ext::shared_ptr< IborIndex >	iborIndex () const
Real	displacement () const override
VolatilityType	volatilityType () const override
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 ()

LazyObject interface
const ext::shared_ptr< OptionletStripper1 >	stripper1_
const Handle< CapFloorTermVolCurve >	atmCapFloorTermVolCurve_
DayCounter	dc_
Size	nOptionExpiries_
std::vector< Rate >	atmCapFloorStrikes_
std::vector< Real >	atmCapFloorPrices_
std::vector< Volatility >	spreadsVolImplied_
std::vector< ext::shared_ptr< CapFloor > >	caps_
Size	maxEvaluations_ = 10000
Real	accuracy_ = 1.e-6
void	performCalculations () const override
std::vector< Volatility >	spreadsVolImplied () const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from OptionletStripper
	OptionletStripper (const ext::shared_ptr< CapFloorTermVolSurface > &, ext::shared_ptr< IborIndex > iborIndex_, Handle< YieldTermStructure > discount={}, VolatilityType type=ShiftedLognormal, Real displacement=0.0)
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from OptionletStripper
ext::shared_ptr< CapFloorTermVolSurface >	termVolSurface_
ext::shared_ptr< IborIndex >	iborIndex_
Handle< YieldTermStructure >	discount_
Size	nStrikes_
Size	nOptionletTenors_
std::vector< std::vector< Rate > >	optionletStrikes_
std::vector< std::vector< Volatility > >	optionletVolatilities_
std::vector< Time >	optionletTimes_
std::vector< Date >	optionletDates_
std::vector< Period >	optionletTenors_
std::vector< Rate >	atmOptionletRate_
std::vector< Date >	optionletPaymentDates_
std::vector< Time >	optionletAccrualPeriods_
std::vector< Period >	capFloorLengths_
const VolatilityType	volatilityType_
const Real	displacement_
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Helper class to extend an OptionletStripper1 object stripping additional optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) At-The-Money term volatilities of a CapFloorTermVolCurve.

Definition at line 42 of file optionletstripper2.hpp.

Constructor & Destructor Documentation

OptionletStripper2()

OptionletStripper2	(	const ext::shared_ptr< OptionletStripper1 > &	optionletStripper1,
		const Handle< CapFloorTermVolCurve > &	atmCapFloorTermVolCurve
	)

Definition at line 36 of file optionletstripper2.cpp.

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Member Function Documentation

atmCapFloorStrikes()

std::vector< Rate > atmCapFloorStrikes

(

)

const

Definition at line 142 of file optionletstripper2.cpp.

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atmCapFloorPrices()

std::vector< Real > atmCapFloorPrices

(

)

const

Definition at line 147 of file optionletstripper2.cpp.

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spreadsVol()

std::vector< Volatility > spreadsVol

(

)

const

Definition at line 137 of file optionletstripper2.cpp.

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performCalculations()

void performCalculations ( ) const

overridevirtual

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

Implements LazyObject.

Definition at line 56 of file optionletstripper2.cpp.

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spreadsVolImplied()

std::vector< Volatility > spreadsVolImplied ( ) const

private

Definition at line 122 of file optionletstripper2.cpp.

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Member Data Documentation

stripper1_

const ext::shared_ptr<OptionletStripper1> stripper1_

private

Definition at line 73 of file optionletstripper2.hpp.

atmCapFloorTermVolCurve_

const Handle<CapFloorTermVolCurve> atmCapFloorTermVolCurve_

private

Definition at line 74 of file optionletstripper2.hpp.

dc_

DayCounter dc_

private

Definition at line 75 of file optionletstripper2.hpp.

nOptionExpiries_

Size nOptionExpiries_

private

Definition at line 76 of file optionletstripper2.hpp.

atmCapFloorStrikes_

std::vector<Rate> atmCapFloorStrikes_

mutableprivate

Definition at line 77 of file optionletstripper2.hpp.

atmCapFloorPrices_

std::vector<Real> atmCapFloorPrices_

mutableprivate

Definition at line 78 of file optionletstripper2.hpp.

spreadsVolImplied_

std::vector<Volatility> spreadsVolImplied_

mutableprivate

Definition at line 79 of file optionletstripper2.hpp.

caps_

std::vector<ext::shared_ptr<CapFloor> > caps_

mutableprivate

Definition at line 80 of file optionletstripper2.hpp.

maxEvaluations_

Size maxEvaluations_ = 10000

private

Definition at line 81 of file optionletstripper2.hpp.

accuracy_

Real accuracy_ = 1.e-6

private

Definition at line 82 of file optionletstripper2.hpp.