#include <qle/termstructures/optionletcurve.hpp>

Inheritance diagram for InterpolatedOptionletCurve< Interpolator >:

Public Member Functions
	InterpolatedOptionletCurve (const std::vector< QuantLib::Date > &dates, const std::vector< QuantLib::Real > &volatilities, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, const QuantLib::Calendar &calendar=QuantLib::Calendar(), QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
TermStructure interface
QuantLib::Date	maxDate () const override
VolatilityTermStructure interface
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override

OptionletVolatilityStructure interface
std::vector< QuantLib::Date >	dates_
	The fixing dates of the index underlying the optionlets.
QuantLib::VolatilityType	volatilityType () const override
QuantLib::Real	displacement () const override
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (QuantLib::Time optionTime) const override
QuantLib::Real	volatilityImpl (QuantLib::Time optionTime, QuantLib::Rate strike) const override

Other inspectors
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Date > &	dates () const
const std::vector< QuantLib::Real > &	volatilities () const
const std::vector< QuantLib::Real > &	data () const
std::vector< std::pair< QuantLib::Date, QuantLib::Real > >	nodes () const
	InterpolatedOptionletCurve (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
	InterpolatedOptionletCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())
	InterpolatedOptionletCurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &calendar, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dayCounter, QuantLib::VolatilityType volatilityType=QuantLib::Normal, QuantLib::Real displacement=0.0, bool flatFirstPeriod=true, const Interpolator &interpolator=Interpolator())

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedOptionletCurve< Interpolator >

OptionletVolatilityStructure based on interpolation of one-dimensional vector of optionlet volatilities

The intended use case for this class is to represent the optionlet volatilities along a strike column of a cap floor volatility surface.

Constructor & Destructor Documentation

◆ InterpolatedOptionletCurve()

template<class Interpolator>

InterpolatedOptionletCurve	(	const std::vector< QuantLib::Date > &	dates,
		const std::vector< QuantLib::Real > &	volatilities,
		QuantLib::BusinessDayConvention	bdc,
		const QuantLib::DayCounter &	dayCounter,
		const QuantLib::Calendar &	calendar = QuantLib::Calendar(),
		QuantLib::VolatilityType	volatilityType = QuantLib::Normal,
		QuantLib::Real	displacement = 0.0,
		bool	flatFirstPeriod = true,
		const Interpolator &	interpolator = Interpolator() )

Constructor

Parameters

dates	The fixing dates of the underlying interest rate index
volatilities	The optionlet volatility at each of the `dates`
bdc	Business day convention used when getting an optionlet expiry date from an optionlet expiry tenor
dayCounter	The day counter used to convert dates to times
calendar	The calendar used when getting an optionlet expiry date from an optionlet expiry tenor and. Also used to advance from today to reference date if necessary.
volatilityType	The volatility type of the provided `volatilities`
displacement	The applicable shift size if the `volatilityType` is `ShiftedLognormal`
flatFirstPeriod	If the volatility between the first date and second date in `dates` is assumed constant and equal to the second element of `volatilities`. This means that the first element of `volatilities` is ignored.
interpolator	The interpolation object used to interpolate between the provided `dates`

Member Function Documentation

◆ smileSectionImpl()

template<class T>

QuantLib::ext::shared_ptr< QuantLib::SmileSection > smileSectionImpl ( QuantLib::Time optionTime ) const

overrideprotected

Gives a flat SmileSection at the requested optionTime. The flat value is obtained by interpolating the input volatilities at the given optionTime.

◆ volatilityImpl()

template<class T>

QuantLib::Real volatilityImpl	(	QuantLib::Time	optionTime,
		QuantLib::Rate	strike ) const

overrideprotected

Gives the interpolated optionlet volatility at the requested optionTime. The strike is ignored.

Public Member Functions