CapFloorHelper Class Reference

#include <qle/termstructures/capfloorhelper.hpp>

Inheritance diagram for CapFloorHelper:

Public Types
enum	Type { Cap , Floor , Automatic }
enum	QuoteType { Premium , Volatility }
	Enum to indicate the type of the quote provided with the CapFloorHelper.

Public Member Functions
	CapFloorHelper (Type type, const QuantLib::Period &tenor, QuantLib::Rate strike, const QuantLib::Handle< QuantLib::Quote > &quote, const boost::shared_ptr< QuantLib::IborIndex > &iborIndex, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountingCurve, bool moving=true, const QuantLib::Date &effectiveDate=QuantLib::Date(), QuoteType quoteType=Premium, QuantLib::VolatilityType quoteVolatilityType=QuantLib::Normal, QuantLib::Real quoteDisplacement=0.0, bool endOfMonth=false, bool firstCapletExcluded=true)
Inspectors
boost::shared_ptr< QuantLib::CapFloor >	capFloor () const
	Return the cap floor instrument underlying the helper.
BootstrapHelper interface
QuantLib::Real	impliedQuote () const override
	Returns the capFloor_ instrument's premium.
void	setTermStructure (QuantLib::OptionletVolatilityStructure *ovts) override
	Sets the helper's OptionletVolatilityStructure to ovts and sets up the pricing engine for capFloor_.

Visitability
void	accept (QuantLib::AcyclicVisitor &) override

Detailed Description

Helper for bootstrapping optionlet volatilities from cap floor volatilities. The helper has a date schedule that is relative to the global evaluation date.

Member Enumeration Documentation

Type

enum Type

Enum to indicate whether the instrument underlying the helper is a Cap, a Floor or should be chosen automatically. If Automatic is chosen and the quote type is volatility, the instrument's ATM rate is queried and if it is greater than the strike, the instrument is a Floor otherwise it is a Cap.

Constructor & Destructor Documentation

CapFloorHelper()

CapFloorHelper	(	Type	type,
		const QuantLib::Period &	tenor,
		QuantLib::Rate	strike,
		const QuantLib::Handle< QuantLib::Quote > &	quote,
		const boost::shared_ptr< QuantLib::IborIndex > &	iborIndex,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountingCurve,
		bool	moving = true,
		const QuantLib::Date &	effectiveDate = QuantLib::Date(),
		QuoteType	quoteType = Premium,
		QuantLib::VolatilityType	quoteVolatilityType = QuantLib::Normal,
		QuantLib::Real	quoteDisplacement = 0.0,
		bool	endOfMonth = false,
		bool	firstCapletExcluded = true
	)

Constructor

Parameters

type	The CapFloorHelper type as described above
tenor	The underlying cap floor instrument's tenor
strike	The underlying cap floor instrument's strike. Setting this to Null<Real>() indicates that the ATM strike for the given tenor should be used.
quote	The quoted premium or implied volatility for the underlying cap floor instrument
iborIndex	The IborIndex underlying the cap floor instrument
discountingCurve	The curve used for discounting the cap floor instrument cashflows
moving	If this is true, the helper's schedule is relative to the global evaluation date and is updated if the global evaluation date is updated. If false, the helper has a fixed schedule relative to the effectiveDate that does not change with changes in the global evaluation date.
effectiveDate	The effective date of the underlying cap floor instrument. If this is the empty QuantLib::Date(), the effective date is determined from the global evaluation date.
quoteType	The quote type
quoteVolatilityType	If the quote type is Volatility, this indicates the volatility type of the quote
quoteDisplacement	If the quote type is Volatility and the volatility type is ShiftedLognormal, this provides the shift size associated with the quote.
endOfMonth	Whether or not to use end of month adjustment when generating the cap floor schedule
firstCapletExcluded	Whether or not to exclude the first caplet in the underlying cap floor instrument