calibration helper for ATM cap More...
#include <caphelper.hpp>
Inheritance diagram for CapHelper:
Collaboration diagram for CapHelper:
Public Member Functions | |
| CapHelper (const Period &length, const Handle< Quote > &volatility, ext::shared_ptr< IborIndex > index, Frequency fixedLegFrequency, DayCounter fixedLegDayCounter, bool includeFirstSwaplet, Handle< YieldTermStructure > termStructure, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError, VolatilityType type=ShiftedLognormal, Real shift=0.0) | |
| void | addTimesTo (std::list< Time > ×) const override |
| Real | modelValue () const override |
| returns the price of the instrument according to the model More... | |
| Real | blackPrice (Volatility volatility) const override |
| Black or Bachelier price given a volatility. More... | |
| Public Member Functions inherited from BlackCalibrationHelper | |
| BlackCalibrationHelper (Handle< Quote > volatility, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) | |
| void | performCalculations () const override |
| Handle< Quote > | volatility () const |
| returns the volatility Handle More... | |
| VolatilityType | volatilityType () const |
| returns the volatility type More... | |
| Real | marketValue () const |
| returns the actual price of the instrument (from volatility) More... | |
| virtual Real | modelValue () const =0 |
| returns the price of the instrument according to the model More... | |
| Real | calibrationError () override |
| returns the error resulting from the model valuation More... | |
| virtual void | addTimesTo (std::list< Time > ×) const =0 |
| Volatility | impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const |
| Black volatility implied by the model. More... | |
| virtual Real | blackPrice (Volatility volatility) const =0 |
| Black or Bachelier price given a volatility. More... | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &engine) |
| 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 ()=default | |
| 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 () |
| Public Member Functions inherited from CalibrationHelper | |
| virtual | ~CalibrationHelper ()=default |
| virtual Real | calibrationError ()=0 |
| returns the error resulting from the model valuation More... | |
Private Member Functions | |
| void | performCalculations () const override |
Private Attributes | |
| ext::shared_ptr< Cap > | cap_ |
| const Period | length_ |
| const ext::shared_ptr< IborIndex > | index_ |
| const Handle< YieldTermStructure > | termStructure_ |
| const Frequency | fixedLegFrequency_ |
| const DayCounter | fixedLegDayCounter_ |
| const bool | includeFirstSwaplet_ |
Additional Inherited Members | |
| Public Types inherited from BlackCalibrationHelper | |
| enum | CalibrationErrorType { RelativePriceError , PriceError , ImpliedVolError } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from LazyObject | |
| 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_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
calibration helper for ATM cap
Definition at line 35 of file caphelper.hpp.
Constructor & Destructor Documentation
◆ CapHelper()
| CapHelper | ( | const Period & | length, |
| const Handle< Quote > & | volatility, | ||
| ext::shared_ptr< IborIndex > | index, | ||
| Frequency | fixedLegFrequency, | ||
| DayCounter | fixedLegDayCounter, | ||
| bool | includeFirstSwaplet, | ||
| Handle< YieldTermStructure > | termStructure, | ||
| BlackCalibrationHelper::CalibrationErrorType | errorType = BlackCalibrationHelper::RelativePriceError, |
||
| VolatilityType | type = ShiftedLognormal, |
||
| Real | shift = 0.0 |
||
| ) |
Member Function Documentation
◆ addTimesTo()
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overridevirtual |
Implements BlackCalibrationHelper.
Definition at line 51 of file caphelper.cpp.
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◆ modelValue()
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overridevirtual |
returns the price of the instrument according to the model
Implements BlackCalibrationHelper.
Definition at line 63 of file caphelper.cpp.
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◆ blackPrice()
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overridevirtual |
Black or Bachelier price given a volatility.
Implements BlackCalibrationHelper.
Definition at line 69 of file caphelper.cpp.
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◆ performCalculations()
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overrideprivatevirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Reimplemented from BlackCalibrationHelper.
Definition at line 91 of file caphelper.cpp.
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Member Data Documentation
◆ cap_
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mutableprivate |
Definition at line 55 of file caphelper.hpp.
◆ length_
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private |
Definition at line 56 of file caphelper.hpp.
◆ index_
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private |
Definition at line 57 of file caphelper.hpp.
◆ termStructure_
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private |
Definition at line 58 of file caphelper.hpp.
◆ fixedLegFrequency_
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private |
Definition at line 59 of file caphelper.hpp.
◆ fixedLegDayCounter_
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private |
Definition at line 60 of file caphelper.hpp.
◆ includeFirstSwaplet_
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private |
Definition at line 61 of file caphelper.hpp.