optionletstripper2.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Giorgio Facchinetti
 Copyright (C) 2010 Ferdinando Ametrano
 
 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.
*/
 
/*! \file optionletstripper2.hpp
    \brief optionlet (caplet/floorlet) volatility stripper
*/
 
#ifndef quantlib_optionletstripper2_hpp
#define quantlib_optionletstripper2_hpp
 
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
 
namespace QuantLib {
 
    class CapFloorTermVolCurve;
    class OptionletStripper1;
    class SimpleQuote;
    class CapFloor;
 
    /*! 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.
    */
    class OptionletStripper2 : public OptionletStripper {
      public:
        // Handle or just shared_ptr ??
        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;
 
        //! \name LazyObject interface
        //@{
        void performCalculations() const override;
        //@}
      private:
        std::vector<Volatility> spreadsVolImplied() const;
 
        class ObjectiveFunction {
          public:
            ObjectiveFunction(const ext::shared_ptr<OptionletStripper1>&,
                              ext::shared_ptr<CapFloor>,
                              Real targetValue);
            Real operator()(Volatility spreadVol) const;
          private:
            ext::shared_ptr<SimpleQuote> spreadQuote_;
            ext::shared_ptr<CapFloor> cap_;
            Real targetValue_;
        };
 
        const ext::shared_ptr<OptionletStripper1> stripper1_;
        const Handle<CapFloorTermVolCurve> atmCapFloorTermVolCurve_;
        DayCounter dc_;
        Size nOptionExpiries_;
        mutable std::vector<Rate> atmCapFloorStrikes_;
        mutable std::vector<Real> atmCapFloorPrices_;
        mutable std::vector<Volatility> spreadsVolImplied_;
        mutable std::vector<ext::shared_ptr<CapFloor> > caps_;
        Size maxEvaluations_ = 10000;
        Real accuracy_ = 1.e-6;
    };
 
}
 
#endif