A free/open-source library for quantitative finance
Reference manual - version 1.20
|
|
A free/open-source library for quantitative finance
Reference manual - version 1.20
|
#include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp>
Inheritance diagram for OptionletStripper2:Public Member Functions | |
| OptionletStripper2 (const ext::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve) | |
| std::vector< Rate > | atmCapFloorStrikes () const |
| std::vector< Real > | atmCapFloorPrices () const |
| std::vector< Volatility > | spreadsVol () const |
| Public Member Functions inherited from OptionletStripper | |
| const std::vector< Rate > & | optionletStrikes (Size i) const |
| const std::vector< Volatility > & | optionletVolatilities (Size i) const |
| const std::vector< Date > & | optionletFixingDates () const |
| const std::vector< Time > & | optionletFixingTimes () const |
| Size | optionletMaturities () const |
| const std::vector< Rate > & | atmOptionletRates () const |
| DayCounter | dayCounter () const |
| Calendar | calendar () const |
| Natural | settlementDays () const |
| BusinessDayConvention | businessDayConvention () const |
| 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 > | iborIndex () const |
| Real | displacement () const |
| VolatilityType | volatilityType () const |
| Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| void | alwaysForwardNotifications () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
LazyObject interface | |
| void | performCalculations () const |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from OptionletStripper | |
| OptionletStripper (const ext::shared_ptr< CapFloorTermVolSurface > &, const ext::shared_ptr< IborIndex > &iborIndex_, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), VolatilityType type=ShiftedLognormal, Real displacement=0.0) | |
| Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
| Protected Attributes inherited from OptionletStripper | |
| ext::shared_ptr< CapFloorTermVolSurface > | termVolSurface_ |
| ext::shared_ptr< IborIndex > | iborIndex_ |
| 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_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| bool | alwaysForward_ |
Helper class to extend an OptionletStripper1 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.
|
virtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
