OptionletStripper1 Class Reference

#include <optionletstripper1.hpp>

Inheritance diagram for OptionletStripper1:

Collaboration 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)
const Matrix &	capFloorPrices () const
const Matrix &	capletVols () const
const Matrix &	capFloorVolatilities () const
const Matrix &	optionletPrices () const
Rate	switchStrike () const
Public Member Functions inherited from OptionletStripper
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
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 ()=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 ()

LazyObject interface
Matrix	capFloorPrices_
Matrix	optionletPrices_
Matrix	capFloorVols_
Matrix	optionletStDevs_
Matrix	capletVols_
bool	floatingSwitchStrike_
Rate	switchStrike_
Real	accuracy_
Natural	maxIter_
bool	dontThrow_
void	performCalculations () const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from OptionletStripper
	OptionletStripper (const ext::shared_ptr< CapFloorTermVolSurface > &, ext::shared_ptr< IborIndex > iborIndex_, Handle< YieldTermStructure > discount={}, VolatilityType type=ShiftedLognormal, Real displacement=0.0)
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from OptionletStripper
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_
Protected Attributes inherited from LazyObject
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.

Definition at line 44 of file optionletstripper1.hpp.

Constructor & Destructor Documentation

OptionletStripper1()

OptionletStripper1	(	const ext::shared_ptr< CapFloorTermVolSurface > &	termVolSurface,
		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
	)

Definition at line 37 of file optionletstripper1.cpp.

Member Function Documentation

capFloorPrices()

const Matrix & capFloorPrices

(

)

const

Definition at line 184 of file optionletstripper1.cpp.

Here is the call graph for this function:

capletVols()

const Matrix & capletVols

(

)

const

Definition at line 179 of file optionletstripper1.cpp.

Here is the call graph for this function:

capFloorVolatilities()

const Matrix & capFloorVolatilities

(

)

const

Definition at line 189 of file optionletstripper1.cpp.

Here is the call graph for this function:

optionletPrices()

const Matrix & optionletPrices

(

)

const

Definition at line 194 of file optionletstripper1.cpp.

Here is the call graph for this function:

switchStrike()

Rate switchStrike

(

)

const

Definition at line 199 of file optionletstripper1.cpp.

Here is the call graph for this function:

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.

Definition at line 60 of file optionletstripper1.cpp.

Here is the call graph for this function:

Member Data Documentation

capFloorPrices_

Matrix capFloorPrices_

mutableprivate

Definition at line 68 of file optionletstripper1.hpp.

optionletPrices_

Matrix optionletPrices_

private

Definition at line 68 of file optionletstripper1.hpp.

capFloorVols_

Matrix capFloorVols_

mutableprivate

Definition at line 69 of file optionletstripper1.hpp.

optionletStDevs_

Matrix optionletStDevs_

mutableprivate

Definition at line 70 of file optionletstripper1.hpp.

capletVols_

Matrix capletVols_

private

Definition at line 70 of file optionletstripper1.hpp.

floatingSwitchStrike_

bool floatingSwitchStrike_

private

Definition at line 72 of file optionletstripper1.hpp.

switchStrike_

Rate switchStrike_

mutableprivate

Definition at line 74 of file optionletstripper1.hpp.

accuracy_

Real accuracy_

private

Definition at line 75 of file optionletstripper1.hpp.

maxIter_

Natural maxIter_

private

Definition at line 76 of file optionletstripper1.hpp.

dontThrow_

bool dontThrow_

private

Definition at line 77 of file optionletstripper1.hpp.