QuantLib: a free/open-source library for quantitative finance
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optionletstripper1.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007, 2008 Ferdinando Ametrano
5 Copyright (C) 2007 François du Vignaud
6 Copyright (C) 2007 Katiuscia Manzoni
7 Copyright (C) 2007 Giorgio Facchinetti
8 Copyright (C) 2015 Peter Caspers
9 Copyright (C) 2015 Michael von den Driesch
10
11 This file is part of QuantLib, a free-software/open-source library
12 for financial quantitative analysts and developers - http://quantlib.org/
13
14 QuantLib is free software: you can redistribute it and/or modify it
15 under the terms of the QuantLib license. You should have received a
16 copy of the license along with this program; if not, please email
17 <quantlib-dev@lists.sf.net>. The license is also available online at
18 <http://quantlib.org/license.shtml>.
19
20 This program is distributed in the hope that it will be useful, but WITHOUT
21 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
22 FOR A PARTICULAR PURPOSE. See the license for more details.
23*/
24
25/*! \file optionletstripper1.hpp
26 \brief optionlet (caplet/floorlet) volatility stripper
27*/
28
29#ifndef quantlib_optionletstripper1_hpp
30#define quantlib_optionletstripper1_hpp
31
33
34namespace QuantLib {
35
36 class SimpleQuote;
37 class CapFloor;
38 class PricingEngine;
39
40 /*! Helper class to strip optionlet (i.e. caplet/floorlet) volatilities
41 (a.k.a. forward-forward volatilities) from the (cap/floor) term
42 volatilities of a CapFloorTermVolSurface.
43 */
45 public:
47 const ext::shared_ptr<CapFloorTermVolSurface>&,
48 const ext::shared_ptr<IborIndex>& index,
49 Rate switchStrikes = Null<Rate>(),
50 Real accuracy = 1.0e-6,
51 Natural maxIter = 100,
52 const Handle<YieldTermStructure>& discount = {},
54 Real displacement = 0.0,
55 bool dontThrow = false);
56
57 const Matrix& capFloorPrices() const;
58 const Matrix &capletVols() const;
59 const Matrix& capFloorVolatilities() const;
60 const Matrix& optionletPrices() const;
61 Rate switchStrike() const;
62
63 //! \name LazyObject interface
64 //@{
65 void performCalculations() const override;
66 //@}
67 private:
71
73
78 };
79
80}
81
82#endif
Shared handle to an observable.
Definition: handle.hpp:41
Matrix used in linear algebra.
Definition: matrix.hpp:41
template class providing a null value for a given type.
Definition: null.hpp:76
const Matrix & capletVols() const
void performCalculations() const override
const Matrix & optionletPrices() const
const Matrix & capFloorPrices() const
const Matrix & capFloorVolatilities() const
Real displacement() const override
QL_REAL Real
real number
Definition: types.hpp:50
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Real Rate
interest rates
Definition: types.hpp:70
Definition: any.hpp:35
optionlet (caplet/floorlet) volatility stripper