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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2015 Peter Caspers
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
<https://www.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 optionletstripper.hpp
\brief optionlet (caplet/floorlet) volatility stripper
*/
#ifndef quantlib_optionletstripper_hpp
#define quantlib_optionletstripper_hpp
#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
#include <ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
namespace QuantLib {
class IborIndex;
/*! StrippedOptionletBase specialization. It's up to derived
classes to implement LazyObject::performCalculations
*/
class OptionletStripper : public StrippedOptionletBase {
public:
//! \name StrippedOptionletBase interface
//@{
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> iborIndex() const;
Real displacement() const override;
VolatilityType volatilityType() const override;
ext::optional<Period> optionletFrequency() const;
protected:
OptionletStripper(const ext::shared_ptr<CapFloorTermVolSurface>&,
ext::shared_ptr<IborIndex> iborIndex_,
Handle<YieldTermStructure> discount = {},
VolatilityType type = ShiftedLognormal,
Real displacement = 0.0,
ext::optional<Period> optionletFrequency = ext::nullopt);
ext::shared_ptr<CapFloorTermVolSurface> termVolSurface_;
ext::shared_ptr<IborIndex> iborIndex_;
Handle<YieldTermStructure> discount_;
Size nStrikes_;
Size nOptionletTenors_;
mutable std::vector<std::vector<Rate> > optionletStrikes_;
mutable std::vector<std::vector<Volatility> > optionletVolatilities_;
mutable std::vector<Time> optionletTimes_;
mutable std::vector<Date> optionletDates_;
std::vector<Period> optionletTenors_;
mutable std::vector<Rate> atmOptionletRate_;
mutable std::vector<Date> optionletPaymentDates_;
mutable std::vector<Time> optionletAccrualPeriods_;
std::vector<Period> capFloorLengths_;
const VolatilityType volatilityType_;
const Real displacement_;
ext::optional<Period> optionletFrequency_;
};
}
#endif
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