Reference manual - version qle_version
#include <qle/termstructures/optionletstripper2.hpp>
Public Member Functions | |
| OptionletStripper2 (const QuantLib::ext::shared_ptr< QuantExt::OptionletStripper > &optionletStripper, const Handle< QuantLib::CapFloorTermVolCurve > &atmCapFloorTermVolCurve, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), const VolatilityType type=ShiftedLognormal, const Real displacement=0.0) | |
| vector< Rate > | atmCapFloorStrikes () const |
| vector< Real > | atmCapFloorPrices () const |
| vector< Volatility > | spreadsVol () 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 extend a QuantExt::OptionletStripper object stripping additional optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) At-The-Money term volatilities of a CapFloorTermVolCurve.
| OptionletStripper2 | ( | const QuantLib::ext::shared_ptr< QuantExt::OptionletStripper > & | optionletStripper, |
| const Handle< QuantLib::CapFloorTermVolCurve > & | atmCapFloorTermVolCurve, | ||
| const Handle< YieldTermStructure > & | discount = Handle< YieldTermStructure >(), | ||
| const VolatilityType | type = ShiftedLognormal, | ||
| const Real | displacement = 0.0 ) |
Optionlet stripper that modifies the stripped optionlets from optionletStripper by adding optionlet volatilities stripped from an ATM volatility curve atmCapFloorTermVolCurve
