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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2010 Ferdinando Ametrano
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 optionletstripper2.hpp
\brief optionlet (caplet/floorlet) volatility stripper
*/
#ifndef quantlib_optionletstripper2_hpp
#define quantlib_optionletstripper2_hpp
#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>
namespace QuantLib {
class CapFloorTermVolCurve;
class OptionletStripper1;
class SimpleQuote;
class CapFloor;
/*! 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.
*/
class OptionletStripper2 : public OptionletStripper {
public:
// Handle or just shared_ptr ??
OptionletStripper2(
const boost::shared_ptr<OptionletStripper1>& optionletStripper1,
const Handle<CapFloorTermVolCurve>& atmCapFloorTermVolCurve);
std::vector<Rate> atmCapFloorStrikes() const;
std::vector<Real> atmCapFloorPrices() const;
std::vector<Volatility> spreadsVol() const;
//! \name LazyObject interface
//@{
void performCalculations() const;
//@}
private:
std::vector<Volatility> spreadsVolImplied() const;
class ObjectiveFunction {
public:
ObjectiveFunction(const boost::shared_ptr<OptionletStripper1>&,
const boost::shared_ptr<CapFloor>&,
Real targetValue);
Real operator()(Volatility spreadVol) const;
private:
boost::shared_ptr<SimpleQuote> spreadQuote_;
boost::shared_ptr<CapFloor> cap_;
Real targetValue_;
};
const boost::shared_ptr<OptionletStripper1> stripper1_;
const Handle<CapFloorTermVolCurve> atmCapFloorTermVolCurve_;
DayCounter dc_;
Size nOptionExpiries_;
mutable std::vector<Rate> atmCapFloorStrikes_;
mutable std::vector<Real> atmCapFloorPrices_;
mutable std::vector<Volatility> spreadsVolImplied_;
mutable std::vector<boost::shared_ptr<CapFloor> > caps_;
Size maxEvaluations_;
Real accuracy_;
};
}
#endif
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