calibration helper for ATM cap More...

#include <caphelper.hpp>

Inheritance diagram for CapHelper:

Collaboration diagram for CapHelper:

Public Member Functions
	CapHelper (const Period &length, const Handle< Quote > &volatility, ext::shared_ptr< IborIndex > index, Frequency fixedLegFrequency, DayCounter fixedLegDayCounter, bool includeFirstSwaplet, Handle< YieldTermStructure > termStructure, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError, VolatilityType type=ShiftedLognormal, Real shift=0.0)

void	addTimesTo (std::list< Time > &times) const override

Real	modelValue () const override
	returns the price of the instrument according to the model More...

Real	blackPrice (Volatility volatility) const override
	Black or Bachelier price given a volatility. More...

Public Member Functions inherited from BlackCalibrationHelper
	BlackCalibrationHelper (Handle< Quote > volatility, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)

void	performCalculations () const override

Handle< Quote >	volatility () const
	returns the volatility Handle More...

VolatilityType	volatilityType () const
	returns the volatility type More...

Real	marketValue () const
	returns the actual price of the instrument (from volatility) More...

virtual Real	modelValue () const =0
	returns the price of the instrument according to the model More...

Real	calibrationError () override
	returns the error resulting from the model valuation More...

virtual void	addTimesTo (std::list< Time > &times) const =0

Volatility	impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
	Black volatility implied by the model. More...

virtual Real	blackPrice (Volatility volatility) const =0
	Black or Bachelier price given a volatility. More...

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &engine)

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 ()

Public Member Functions inherited from CalibrationHelper
virtual	~CalibrationHelper ()=default

virtual Real	calibrationError ()=0
	returns the error resulting from the model valuation More...

Private Member Functions
void	performCalculations () const override

Private Attributes
ext::shared_ptr< Cap >	cap_

const Period	length_

const ext::shared_ptr< IborIndex >	index_

const Handle< YieldTermStructure >	termStructure_

const Frequency	fixedLegFrequency_

const DayCounter	fixedLegDayCounter_

const bool	includeFirstSwaplet_

Additional Inherited Members
Public Types inherited from BlackCalibrationHelper
enum	CalibrationErrorType { RelativePriceError , PriceError , ImpliedVolError }

Public Types inherited from Observer
typedef set_type::iterator	iterator

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

Protected Attributes inherited from BlackCalibrationHelper
Real	marketValue_

Handle< Quote >	volatility_

ext::shared_ptr< PricingEngine >	engine_

const VolatilityType	volatilityType_

const Real	shift_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

calibration helper for ATM cap

Definition at line 35 of file caphelper.hpp.

Constructor & Destructor Documentation

◆ CapHelper()

CapHelper	(	const Period &	length,
		const Handle< Quote > &	volatility,
		ext::shared_ptr< IborIndex >	index,
		Frequency	fixedLegFrequency,
		DayCounter	fixedLegDayCounter,
		bool	includeFirstSwaplet,
		Handle< YieldTermStructure >	termStructure,
		BlackCalibrationHelper::CalibrationErrorType	errorType = `BlackCalibrationHelper::RelativePriceError`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	shift = `0.0`
	)

Definition at line 33 of file caphelper.cpp.

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Member Function Documentation

◆ addTimesTo()

void addTimesTo ( std::list< Time > & times ) const

overridevirtual

Implements BlackCalibrationHelper.

Definition at line 51 of file caphelper.cpp.

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◆ modelValue()

Real modelValue ( ) const

overridevirtual

returns the price of the instrument according to the model

Implements BlackCalibrationHelper.

Definition at line 63 of file caphelper.cpp.

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◆ blackPrice()

Real blackPrice ( Volatility volatility ) const

overridevirtual

Black or Bachelier price given a volatility.

Implements BlackCalibrationHelper.

Definition at line 69 of file caphelper.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.

Reimplemented from BlackCalibrationHelper.

Definition at line 91 of file caphelper.cpp.

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Member Data Documentation

◆ cap_

ext::shared_ptr<Cap> cap_

mutableprivate

Definition at line 55 of file caphelper.hpp.

◆ length_

const Period length_

private

Definition at line 56 of file caphelper.hpp.

◆ index_

const ext::shared_ptr<IborIndex> index_

private

Definition at line 57 of file caphelper.hpp.

◆ termStructure_

const Handle<YieldTermStructure> termStructure_

private

Definition at line 58 of file caphelper.hpp.

◆ fixedLegFrequency_

const Frequency fixedLegFrequency_

private

Definition at line 59 of file caphelper.hpp.

◆ fixedLegDayCounter_

const DayCounter fixedLegDayCounter_

private

Definition at line 60 of file caphelper.hpp.

◆ includeFirstSwaplet_

const bool includeFirstSwaplet_

private

Definition at line 61 of file caphelper.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CapHelper()

Member Function Documentation

◆ addTimesTo()

◆ modelValue()

◆ blackPrice()

◆ performCalculations()

Member Data Documentation

◆ cap_

◆ length_

◆ index_

◆ termStructure_

◆ fixedLegFrequency_

◆ fixedLegDayCounter_

◆ includeFirstSwaplet_