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| OptionletStripper2 (const boost::shared_ptr< QuantExt::OptionletStripper > &optionletStripper, const Handle< QuantLib::CapFloorTermVolCurve > &atmCapFloorTermVolCurve, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), const VolatilityType type=ShiftedLognormal, const Real displacement=0.0) |
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vector< Rate > | atmCapFloorStrikes () const |
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vector< Real > | atmCapFloorPrices () const |
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vector< Volatility > | spreadsVol () const |
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const std::vector< Rate > & | optionletStrikes (Size i) const override |
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const std::vector< Volatility > & | optionletVolatilities (Size i) const override |
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const std::vector< Date > & | optionletFixingDates () const override |
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const std::vector< Time > & | optionletFixingTimes () const override |
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Size | optionletMaturities () const override |
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const std::vector< Rate > & | atmOptionletRates () const override |
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DayCounter | dayCounter () const override |
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Calendar | calendar () const override |
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Natural | settlementDays () const override |
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BusinessDayConvention | businessDayConvention () const override |
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const std::vector< Period > & | optionletFixingTenors () const |
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const std::vector< Date > & | optionletPaymentDates () const |
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const std::vector< Time > & | optionletAccrualPeriods () const |
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ext::shared_ptr< CapFloorTermVolSurface > | termVolSurface () const |
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ext::shared_ptr< IborIndex > | index () const |
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Real | displacement () const override |
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VolatilityType | volatilityType () const override |
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const Period & | rateComputationPeriod () const |
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| 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) |
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virtual void | populateDates () const |
| Method to populate the dates, times and accruals that can be overridden in derived classes.
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ext::shared_ptr< CapFloorTermVolSurface > | termVolSurface_ |
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ext::shared_ptr< IborIndex > | index_ |
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Handle< YieldTermStructure > | discount_ |
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Size | nStrikes_ |
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Size | nOptionletTenors_ |
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std::vector< std::vector< Rate > > | optionletStrikes_ |
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std::vector< std::vector< Volatility > > | optionletVolatilities_ |
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std::vector< Time > | optionletTimes_ |
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std::vector< Date > | optionletDates_ |
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std::vector< Period > | optionletTenors_ |
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std::vector< Rate > | atmOptionletRate_ |
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std::vector< Date > | optionletPaymentDates_ |
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std::vector< Time > | optionletAccrualPeriods_ |
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std::vector< Period > | capFloorLengths_ |
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const VolatilityType | volatilityType_ |
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const Real | displacement_ |
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const Period | rateComputationPeriod_ |
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const Size | onCapSettlementDays_ |
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Helper class to extend a QuantExt::OptionletStripper 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.