Reference manual - version qle_version
#include <qle/termstructures/optionletstripper1.hpp>
Public Member Functions | |
| OptionletStripper1 (const QuantLib::ext::shared_ptr< QuantExt::CapFloorTermVolSurface > &, const QuantLib::ext::shared_ptr< IborIndex > &index, Rate switchStrikes=Null< Rate >(), Real accuracy=1.0e-6, Natural maxIter=100, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), const VolatilityType type=ShiftedLognormal, const Real displacement=0.0, const optional< VolatilityType > targetVolatilityType=QuantLib::ext::nullopt, const optional< Real > targetDisplacement=QuantLib::ext::nullopt) | |
| const Matrix & | capFloorPrices () const |
| const Matrix & | capletVols () const |
| const Matrix & | capFloorVolatilities () const |
| const Matrix & | optionletPrices () const |
| Rate | switchStrike () const |
| const Handle< YieldTermStructure > & | discountCurve () const |
| 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 > | index () const |
| Real | displacement () const override |
| VolatilityType | volatilityType () const override |
| const Period & | rateComputationPeriod () const |
LazyObject interface | |
| void | performCalculations () const override |
Additional Inherited Members | |
| OptionletStripper (const ext::shared_ptr< QuantExt::CapFloorTermVolSurface > &, const ext::shared_ptr< IborIndex > &index, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), const VolatilityType type=ShiftedLognormal, const Real displacement=0.0, const Period &rateComputationPeriod=0 *Days, const Size onCapSettlementDays=0) | |
| virtual void | populateDates () const |
| Method to populate the dates, times and accruals that can be overridden in derived classes. | |
| ext::shared_ptr< CapFloorTermVolSurface > | termVolSurface_ |
| ext::shared_ptr< IborIndex > | index_ |
| 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_ |
| const Period | rateComputationPeriod_ |
| const Size | onCapSettlementDays_ |
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.
