CapPseudoDerivative Class Reference

#include <swaptionpseudojacobian.hpp>

Collaboration diagram for CapPseudoDerivative:

Public Member Functions
	CapPseudoDerivative (const ext::shared_ptr< MarketModel > &inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF)
const Matrix &	volatilityDerivative (Size i) const
const Matrix &	priceDerivative (Size i) const
Real	impliedVolatility () const

Private Attributes
ext::shared_ptr< MarketModel >	inputModel_
std::vector< Matrix >	volatilityDerivatives_
std::vector< Matrix >	priceDerivatives_
Real	impliedVolatility_
Real	vega_
Real	firstDF_

Detailed Description

In order to compute market vegas, we need a class that gives the derivative of a cap implied vol against changes in pseudo-root elements. This is that class.

The operation is non-trivial because the cap implied vol has a complicated relationship with the caplet implied vols.

This is tested in the pathwise vegas routine in MarketModels.cpp

Definition at line 78 of file swaptionpseudojacobian.hpp.

Constructor & Destructor Documentation

CapPseudoDerivative()

CapPseudoDerivative	(	const ext::shared_ptr< MarketModel > &	inputModel,
		Real	strike,
		Size	startIndex,
		Size	endIndex,
		Real	firstDF
	)

Definition at line 232 of file swaptionpseudojacobian.cpp.

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Member Function Documentation

volatilityDerivative()

const Matrix & volatilityDerivative

(

Size

i

)

const

Definition at line 367 of file swaptionpseudojacobian.cpp.

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priceDerivative()

const Matrix & priceDerivative

(

Size

i

)

const

Definition at line 362 of file swaptionpseudojacobian.cpp.

impliedVolatility()

Real impliedVolatility

(

)

const

Definition at line 374 of file swaptionpseudojacobian.cpp.

Member Data Documentation

inputModel_

ext::shared_ptr<MarketModel> inputModel_

private

Definition at line 96 of file swaptionpseudojacobian.hpp.

volatilityDerivatives_

std::vector<Matrix> volatilityDerivatives_

private

Definition at line 98 of file swaptionpseudojacobian.hpp.

priceDerivatives_

std::vector<Matrix> priceDerivatives_

private

Definition at line 100 of file swaptionpseudojacobian.hpp.

impliedVolatility_

Real impliedVolatility_

private

Definition at line 102 of file swaptionpseudojacobian.hpp.

vega_

Real vega_

private

Definition at line 103 of file swaptionpseudojacobian.hpp.

firstDF_

Real firstDF_

private

Definition at line 104 of file swaptionpseudojacobian.hpp.