SwaptionHelper Class Reference

calibration helper for interest-rate swaptions More...

#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>

Inheritance diagram for SwaptionHelper:

Public Member Functions
	SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, ext::shared_ptr< IborIndex > index, const Period &fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle< YieldTermStructure > termStructure, CalibrationErrorType errorType=RelativePriceError, Real strike=Null< Real >(), Real nominal=1.0, VolatilityType type=ShiftedLognormal, Real shift=0.0, Natural settlementDays=Null< Size >(), RateAveraging::Type averagingMethod=RateAveraging::Compound)
	SwaptionHelper (const Date &exerciseDate, const Period &length, const Handle< Quote > &volatility, ext::shared_ptr< IborIndex > index, const Period &fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle< YieldTermStructure > termStructure, CalibrationErrorType errorType=RelativePriceError, Real strike=Null< Real >(), Real nominal=1.0, VolatilityType type=ShiftedLognormal, Real shift=0.0, Natural settlementDays=Null< Size >(), RateAveraging::Type averagingMethod=RateAveraging::Compound)
	SwaptionHelper (const Date &exerciseDate, const Date &endDate, const Handle< Quote > &volatility, ext::shared_ptr< IborIndex > index, const Period &fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle< YieldTermStructure > termStructure, CalibrationErrorType errorType=RelativePriceError, Real strike=Null< Real >(), Real nominal=1.0, VolatilityType type=ShiftedLognormal, Real shift=0.0, Natural settlementDays=Null< Size >(), RateAveraging::Type averagingMethod=RateAveraging::Compound)
void	addTimesTo (std::list< Time > &times) const override
Real	modelValue () const override
	returns the price of the instrument according to the model
Real	blackPrice (Volatility volatility) const override
	Black or Bachelier price given a volatility.
const ext::shared_ptr< FixedVsFloatingSwap > &	underlying () const
ext::shared_ptr< Swaption >	swaption () const
Public Member Functions inherited from BlackCalibrationHelper
	BlackCalibrationHelper (Handle< Quote > volatility, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)
Handle< Quote >	volatility () const
	returns the volatility Handle
VolatilityType	volatilityType () const
	returns the volatility type
Real	marketValue () const
	returns the actual price of the instrument (from volatility)
Real	calibrationError () override
	returns the error resulting from the model valuation
Volatility	impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
	Black volatility implied by the model.
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &engine)
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 ()

Additional Inherited Members
Public Types inherited from BlackCalibrationHelper
enum	CalibrationErrorType { RelativePriceError , PriceError , ImpliedVolError }
Public Types inherited from Observer
typedef set_type::iterator	iterator
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_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

calibration helper for interest-rate swaptions

Warning

passing an overnight index to the constructor will result in an overnight-indexed swap being built, but model-based engines will treat it as a vanilla swap. This is at best a decent proxy, at worst simply wrong. Use with caution.

Member Function Documentation

addTimesTo()

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

overridevirtual

Implements BlackCalibrationHelper.

modelValue()

Real modelValue ( ) const

overridevirtual

returns the price of the instrument according to the model

Implements BlackCalibrationHelper.

blackPrice()

Real blackPrice ( Volatility volatility ) const

overridevirtual

Black or Bachelier price given a volatility.

Implements BlackCalibrationHelper.