PiecewiseAtmOptionletCurve< Interpolator, Bootstrap > Class Template Reference

#include <qle/termstructures/piecewiseatmoptionletcurve.hpp>

Inheritance diagram for PiecewiseAtmOptionletCurve< Interpolator, Bootstrap >:

Public Types
typedef PiecewiseOptionletCurve< Interpolator, Bootstrap >::this_curve	optionlet_curve

Public Member Functions
	PiecewiseAtmOptionletCurve (QuantLib::Natural settlementDays, const QuantLib::ext::shared_ptr< CapFloorTermVolCurve > &cftvc, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &index, const QuantLib::Handle< QuantLib::YieldTermStructure > &discount, bool flatFirstPeriod=true, const QuantLib::VolatilityType capFloorVolType=QuantLib::ShiftedLognormal, const QuantLib::Real capFloorVolDisplacement=0.0, const QuantLib::ext::optional< QuantLib::VolatilityType > optionletVolType=QuantLib::ext::nullopt, const QuantLib::ext::optional< QuantLib::Real > optionletVolDisplacement=QuantLib::ext::nullopt, bool interpOnOptionlets=true, const Interpolator &i=Interpolator(), const Bootstrap< optionlet_curve > &bootstrap=Bootstrap< optionlet_curve >(), const Period &rateComputationPeriod=0 *Days, const Size onCapSettlementDays=0)
	PiecewiseAtmOptionletCurve (const QuantLib::Date &referenceDate, const QuantLib::ext::shared_ptr< CapFloorTermVolCurve > &cftvc, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &index, const QuantLib::Handle< QuantLib::YieldTermStructure > &discount, bool flatFirstPeriod=true, const QuantLib::VolatilityType capFloorVolType=QuantLib::ShiftedLognormal, const QuantLib::Real capFloorVolDisplacement=0.0, const QuantLib::ext::optional< QuantLib::VolatilityType > optionletVolType=QuantLib::ext::nullopt, const QuantLib::ext::optional< QuantLib::Real > optionletVolDisplacement=QuantLib::ext::nullopt, bool interpOnOptionlets=true, const Interpolator &i=Interpolator(), const Bootstrap< optionlet_curve > &bootstrap=Bootstrap< optionlet_curve >(), const Period &rateComputationPeriod=0 *Days, const Size onCapSettlementDays=0)
Inspectors
QuantLib::VolatilityType	capFloorVolType () const
	Volatility type for the underlying ATM cap floor curve.
QuantLib::Real	capFloorVolDisplacement () const
	The applicable shift if the underlying ATM cap floor curve has shifted lognormal volatility.
Observer interface
void	update () override
LazyObject interface
void	performCalculations () const override
TermStructure interface
QuantLib::Date	maxDate () const override
VolatilityTermStructure interface
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override

OptionletVolatilityStructure interface
QuantLib::VolatilityType	volatilityType () const override
QuantLib::Real	displacement () const override
QuantLib::ext::shared_ptr< optionlet_curve >	curve () const
	The underlying optionlet curve.
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (QuantLib::Time optionTime) const override
QuantLib::Volatility	volatilityImpl (QuantLib::Time optionTime, QuantLib::Rate strike) const override

Detailed Description

template<class Interpolator, template< class > class Bootstrap = QuantExt::IterativeBootstrap>
class QuantExt::PiecewiseAtmOptionletCurve< Interpolator, Bootstrap >

Helper class to strip caplet/floorlet volatilities from the cap floor term volatilities of a CapFloorTermVolCurve.