OptionletStripperWithAtm< TimeInterpolator, SmileInterpolator > Class Template Reference

#include <qle/termstructures/optionletstripperwithatm.hpp>

Inheritance diagram for OptionletStripperWithAtm< TimeInterpolator, SmileInterpolator >:

Public Member Functions
	OptionletStripperWithAtm (const QuantLib::ext::shared_ptr< QuantExt::OptionletStripper > &osBase, const QuantLib::Handle< CapFloorTermVolCurve > &atmCurve, const QuantLib::Handle< QuantLib::YieldTermStructure > &discount=QuantLib::Handle< QuantLib::YieldTermStructure >(), const QuantLib::VolatilityType atmVolatilityType=QuantLib::ShiftedLognormal, QuantLib::Real atmDisplacement=0.0, QuantLib::Size maxEvaluations=10000, QuantLib::Real accuracy=1.0e-12, const TimeInterpolator &ti=TimeInterpolator(), const SmileInterpolator &si=SmileInterpolator())
	Constructor.
Inspectors
std::vector< QuantLib::Rate >	atmStrikes () const
std::vector< QuantLib::Real >	atmPrices () const
std::vector< QuantLib::Volatility >	volSpreads () 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_

Detailed Description

template<class TimeInterpolator, class SmileInterpolator>
class QuantExt::OptionletStripperWithAtm< TimeInterpolator, SmileInterpolator >

Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor term volatilities