optionletstripper.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2007 Giorgio Facchinetti
 Copyright (C) 2015 Peter Caspers
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_optionletstripper_hpp
#define quantlib_optionletstripper_hpp
 
#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
#include <ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
 
namespace QuantLib {
 
    class IborIndex;
 
    class OptionletStripper : public StrippedOptionletBase {
      public:
 
        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;
 
      protected:
        OptionletStripper(const ext::shared_ptr<CapFloorTermVolSurface>&,
                          ext::shared_ptr<IborIndex> iborIndex_,
                          Handle<YieldTermStructure> discount = {},
                          VolatilityType type = ShiftedLognormal,
                          Real displacement = 0.0);
        ext::shared_ptr<CapFloorTermVolSurface> termVolSurface_;
        ext::shared_ptr<IborIndex> iborIndex_;
        Handle<YieldTermStructure> discount_;
        Size nStrikes_;
        Size nOptionletTenors_;
 
        mutable std::vector<std::vector<Rate> > optionletStrikes_;
        mutable std::vector<std::vector<Volatility> > optionletVolatilities_;
 
        mutable std::vector<Time> optionletTimes_;
        mutable std::vector<Date> optionletDates_;
        std::vector<Period> optionletTenors_;
        mutable std::vector<Rate> atmOptionletRate_;
        mutable std::vector<Date> optionletPaymentDates_;
        mutable std::vector<Time> optionletAccrualPeriods_;
 
        std::vector<Period> capFloorLengths_;
        const VolatilityType volatilityType_;
        const Real displacement_;
    };
 
}
 
#endif