OptionletStripper1 Class Reference

#include <ql/termstructures/volatility/optionlet/optionletstripper1.hpp>

Inheritance diagram for OptionletStripper1:

Public Member Functions
	OptionletStripper1 (const ext::shared_ptr< CapFloorTermVolSurface > &, const ext::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100, const Handle< YieldTermStructure > &discount={}, VolatilityType type=ShiftedLognormal, Real displacement=0.0, bool dontThrow=false, ext::optional< Period > optionletFrequency=ext::nullopt)
const Matrix &	capFloorPrices () const
const Matrix &	capletVols () const
const Matrix &	capFloorVolatilities () const
const Matrix &	optionletPrices () const
Rate	switchStrike () const
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
ext::optional< Period >	optionletFrequency () const
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()

LazyObject interface
void	performCalculations () const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
	OptionletStripper (const ext::shared_ptr< CapFloorTermVolSurface > &, ext::shared_ptr< IborIndex > iborIndex_, Handle< YieldTermStructure > discount={}, VolatilityType type=ShiftedLognormal, Real displacement=0.0, ext::optional< Period > optionletFrequency=ext::nullopt)
virtual void	calculate () const
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_
ext::optional< Period >	optionletFrequency_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Helper class to strip optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) term volatilities of a CapFloorTermVolSurface.

Member Function Documentation

performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.