#include <qle/termstructures/optionletstripperwithatm.hpp>
Public Member Functions | |
OptionletStripperWithAtm (const boost::shared_ptr< QuantExt::OptionletStripper > &osBase, const QuantLib::Handle< CapFloorTermVolCurve > &atmCurve, const QuantLib::Handle< QuantLib::YieldTermStructure > &discount=QuantLib::Handle< QuantLib::YieldTermStructure >(), const QuantLib::VolatilityType atmVolatilityType=QuantLib::ShiftedLognormal, QuantLib::Real atmDisplacement=0.0, QuantLib::Size maxEvaluations=10000, QuantLib::Real accuracy=1.0e-12, const TimeInterpolator &ti=TimeInterpolator(), const SmileInterpolator &si=SmileInterpolator()) | |
Constructor. | |
Inspectors | |
std::vector< QuantLib::Rate > | atmStrikes () const |
std::vector< QuantLib::Real > | atmPrices () const |
std::vector< QuantLib::Volatility > | volSpreads () const |
Public Member Functions inherited from OptionletStripper | |
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 > | index () const |
Real | displacement () const override |
VolatilityType | volatilityType () const override |
const Period & | rateComputationPeriod () const |
LazyObject interface | |
void | performCalculations () const override |
Additional Inherited Members | |
Protected Member Functions inherited from OptionletStripper | |
OptionletStripper (const ext::shared_ptr< QuantExt::CapFloorTermVolSurface > &, const ext::shared_ptr< IborIndex > &index, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), const VolatilityType type=ShiftedLognormal, const Real displacement=0.0, const Period &rateComputationPeriod=0 *Days, const Size onCapSettlementDays=0) | |
virtual void | populateDates () const |
Method to populate the dates, times and accruals that can be overridden in derived classes. | |
Protected Attributes inherited from OptionletStripper | |
ext::shared_ptr< CapFloorTermVolSurface > | termVolSurface_ |
ext::shared_ptr< IborIndex > | index_ |
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_ |
const Period | rateComputationPeriod_ |
const Size | onCapSettlementDays_ |
Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor term volatilities