PiecewiseOptionletStripper< Interpolator, Bootstrap > Class Template Reference

#include <qle/termstructures/piecewiseoptionletstripper.hpp>

Inheritance diagram for PiecewiseOptionletStripper< Interpolator, Bootstrap >:

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

Public Member Functions
	PiecewiseOptionletStripper (const QuantLib::ext::shared_ptr< QuantExt::CapFloorTermVolSurface > &capFloorSurface, 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< 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 cap floor matrix.
QuantLib::Real	capFloorVolDisplacement () const
	The applicable shift if the underlying cap floor matrix has shifted lognormal volatility.
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 Interpolator, template< class > class Bootstrap = QuantExt::IterativeBootstrap>
class QuantExt::PiecewiseOptionletStripper< Interpolator, Bootstrap >

Helper class to strip optionlet (i.e. caplet/floorlet) volatilities from the cap floor term volatilities of a CapFloorTermVolSurface.