#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>

Inheritance diagram for OptionletStripper:

Collaboration diagram for OptionletStripper:

StrippedOptionletBase interface
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_

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

	OptionletStripper (const ext::shared_ptr< CapFloorTermVolSurface > &, ext::shared_ptr< IborIndex > iborIndex_, Handle< YieldTermStructure > discount={}, VolatilityType type=ShiftedLognormal, Real displacement=0.0)

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

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 ()

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

virtual void	performCalculations () const =0

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

StrippedOptionletBase specialization. It's up to derived classes to implement LazyObject::performCalculations

Definition at line 41 of file optionletstripper.hpp.

Constructor & Destructor Documentation

◆ OptionletStripper()

OptionletStripper	(	const ext::shared_ptr< CapFloorTermVolSurface > &	termVolSurface,
		ext::shared_ptr< IborIndex >	iborIndex_,
		Handle< YieldTermStructure >	discount = `{}`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	displacement = `0.0`
	)

protected

Definition at line 30 of file optionletstripper.cpp.

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Member Function Documentation

◆ optionletStrikes()

const vector< Rate > & optionletStrikes ( Size i ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 79 of file optionletstripper.cpp.

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◆ optionletVolatilities()

const vector< Volatility > & optionletVolatilities ( Size i ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 89 of file optionletstripper.cpp.

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◆ optionletFixingDates()

const vector< Date > & optionletFixingDates ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 102 of file optionletstripper.cpp.

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◆ optionletFixingTimes()

const vector< Time > & optionletFixingTimes ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 107 of file optionletstripper.cpp.

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◆ optionletMaturities()

Size optionletMaturities ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 112 of file optionletstripper.cpp.

◆ atmOptionletRates()

const vector< Rate > & atmOptionletRates ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 126 of file optionletstripper.cpp.

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◆ dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 132 of file optionletstripper.cpp.

◆ calendar()

Calendar calendar ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 136 of file optionletstripper.cpp.

◆ settlementDays()

Natural settlementDays ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 140 of file optionletstripper.cpp.

◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 144 of file optionletstripper.cpp.

◆ optionletFixingTenors()

const vector< Period > & optionletFixingTenors ( ) const

Definition at line 98 of file optionletstripper.cpp.

◆ optionletPaymentDates()

const vector< Date > & optionletPaymentDates ( ) const

Definition at line 116 of file optionletstripper.cpp.

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◆ optionletAccrualPeriods()

const vector< Time > & optionletAccrualPeriods ( ) const

Definition at line 121 of file optionletstripper.cpp.

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◆ termVolSurface()

ext::shared_ptr< CapFloorTermVolSurface > termVolSurface ( ) const

Definition at line 149 of file optionletstripper.cpp.

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◆ iborIndex()

ext::shared_ptr< IborIndex > iborIndex ( ) const

Definition at line 153 of file optionletstripper.cpp.

◆ displacement()

Real displacement ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 157 of file optionletstripper.cpp.

◆ volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

Implements StrippedOptionletBase.

Definition at line 161 of file optionletstripper.cpp.

Member Data Documentation

◆ termVolSurface_

ext::shared_ptr<CapFloorTermVolSurface> termVolSurface_

protected

Definition at line 74 of file optionletstripper.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

protected

Definition at line 75 of file optionletstripper.hpp.

◆ discount_

Handle<YieldTermStructure> discount_

protected

Definition at line 76 of file optionletstripper.hpp.

◆ nStrikes_

Size nStrikes_

protected

Definition at line 77 of file optionletstripper.hpp.

◆ nOptionletTenors_

Size nOptionletTenors_

protected

Definition at line 78 of file optionletstripper.hpp.

◆ optionletStrikes_

std::vector<std::vector<Rate> > optionletStrikes_

mutableprotected

Definition at line 80 of file optionletstripper.hpp.

◆ optionletVolatilities_

std::vector<std::vector<Volatility> > optionletVolatilities_

mutableprotected

Definition at line 81 of file optionletstripper.hpp.

◆ optionletTimes_

std::vector<Time> optionletTimes_

mutableprotected

Definition at line 83 of file optionletstripper.hpp.

◆ optionletDates_

std::vector<Date> optionletDates_

mutableprotected

Definition at line 84 of file optionletstripper.hpp.

◆ optionletTenors_

std::vector<Period> optionletTenors_

protected

Definition at line 85 of file optionletstripper.hpp.

◆ atmOptionletRate_

std::vector<Rate> atmOptionletRate_

mutableprotected

Definition at line 86 of file optionletstripper.hpp.

◆ optionletPaymentDates_

std::vector<Date> optionletPaymentDates_

mutableprotected

Definition at line 87 of file optionletstripper.hpp.

◆ optionletAccrualPeriods_

std::vector<Time> optionletAccrualPeriods_

mutableprotected

Definition at line 88 of file optionletstripper.hpp.

◆ capFloorLengths_

std::vector<Period> capFloorLengths_

protected

Definition at line 90 of file optionletstripper.hpp.

◆ volatilityType_

const VolatilityType volatilityType_

protected

Definition at line 91 of file optionletstripper.hpp.

◆ displacement_

const Real displacement_

protected

Definition at line 92 of file optionletstripper.hpp.

StrippedOptionletBase interface

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ OptionletStripper()

Member Function Documentation

◆ optionletStrikes()

◆ optionletVolatilities()

◆ optionletFixingDates()

◆ optionletFixingTimes()

◆ optionletMaturities()

◆ atmOptionletRates()

◆ dayCounter()

◆ calendar()

◆ settlementDays()

◆ businessDayConvention()

◆ optionletFixingTenors()

◆ optionletPaymentDates()

◆ optionletAccrualPeriods()

◆ termVolSurface()

◆ iborIndex()

◆ displacement()

◆ volatilityType()

Member Data Documentation

◆ termVolSurface_

◆ iborIndex_

◆ discount_

◆ nStrikes_

◆ nOptionletTenors_

◆ optionletStrikes_

◆ optionletVolatilities_

◆ optionletTimes_

◆ optionletDates_

◆ optionletTenors_

◆ atmOptionletRate_

◆ optionletPaymentDates_

◆ optionletAccrualPeriods_

◆ capFloorLengths_

◆ volatilityType_

◆ displacement_