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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2008 Ferdinando Ametrano
Copyright (C) 2007 Franois du Vignaud
Copyright (C) 2007 Katiuscia Manzoni
Copyright (C) 2007 Giorgio Facchinetti
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file optionletstripper1.hpp
\brief optionlet (caplet/floorlet) volatility stripper
*/
#ifndef quantlib_optionletstripper1_hpp
#define quantlib_optionletstripper1_hpp
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
namespace QuantLib {
class CapFloor;
class SimpleQuote;
typedef std::vector<std::vector<boost::shared_ptr<CapFloor> > > CapFloorMatrix;
/*! Helper class to strip optionlet (i.e. caplet/floorlet) volatilities
(a.k.a. forward-forward volatilities) from the (cap/floor) term
volatilities of a CapFloorTermVolSurface.
*/
class OptionletStripper1 : public OptionletStripper {
public:
OptionletStripper1(const boost::shared_ptr<CapFloorTermVolSurface>&,
const boost::shared_ptr<IborIndex>& index,
Rate switchStrikes = Null<Rate>(),
Real accuracy = 1.0e-6,
Natural maxIter = 100);
const Matrix& capFloorPrices() const;
const Matrix& capFloorVolatilities() const;
const Matrix& optionletPrices() const;
Rate switchStrike() const;
//! \name LazyObject interface
//@{
void performCalculations() const;
//@}
private:
mutable Matrix capFloorPrices_, optionletPrices_;
mutable Matrix capFloorVols_;
mutable Matrix optionletStDevs_;
mutable CapFloorMatrix capFloors_;
mutable std::vector<std::vector<boost::shared_ptr<SimpleQuote> > > volQuotes_;
bool floatingSwitchStrike_;
mutable bool capFlooMatrixNotInitialized_;
mutable Rate switchStrike_;
Real accuracy_;
Natural maxIter_;
};
}
#endif
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