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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Ferdinando Ametrano
Copyright (C) 2007 Giorgio Facchinetti
Copyright (C) 2015 Peter Caspers
Copyright (C) 2015 Michael von den Driesch
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 strippedoptionlet.hpp
*/
#ifndef quantlib_strippedoptionlet_hpp
#define quantlib_strippedoptionlet_hpp
#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/quote.hpp>
namespace QuantLib {
/*! Helper class to wrap in a StrippedOptionletBase object a matrix of
exogenously calculated optionlet (i.e. caplet/floorlet) volatilities
(a.k.a. forward-forward volatilities).
*/
class StrippedOptionlet : public StrippedOptionletBase {
public:
StrippedOptionlet(Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
ext::shared_ptr<IborIndex> iborIndex,
const std::vector<Date>& optionletDates,
const std::vector<Rate>& strikes,
std::vector<std::vector<Handle<Quote> > >,
DayCounter dc,
VolatilityType type = ShiftedLognormal,
Real displacement = 0.0);
StrippedOptionlet(Natural settlementDays,
const Calendar& calendar,
BusinessDayConvention bdc,
ext::shared_ptr<IborIndex> iborIndex,
const std::vector<Date>& optionletDates,
const std::vector<std::vector<Rate>>& strikes,
std::vector<std::vector<Handle<Quote>>>,
DayCounter dc,
VolatilityType type = ShiftedLognormal,
Real displacement = 0.0);
//! \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;
//@}
VolatilityType volatilityType() const override;
Real displacement() const override;
private:
void checkInputs() const;
void registerWithMarketData();
void performCalculations() const override;
Calendar calendar_;
Natural settlementDays_;
BusinessDayConvention businessDayConvention_;
DayCounter dc_;
ext::shared_ptr<IborIndex> iborIndex_;
VolatilityType type_;
Real displacement_;
Size nOptionletDates_;
std::vector<Date> optionletDates_;
std::vector<Time> optionletTimes_;
mutable std::vector<Rate> optionletAtmRates_;
std::vector<std::vector<Rate> > optionletStrikes_;
std::vector<std::vector<Handle<Quote> > > optionletVolQuotes_;
mutable std::vector<std::vector<Volatility> > optionletVolatilities_;
};
}
#endif
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