Reference manual - version qle_version
#include <qle/termstructures/optionletstripperwithatm.hpp>
Inheritance diagram for OptionletStripperWithAtm< TimeInterpolator, SmileInterpolator >:Public Member Functions | |
| OptionletStripperWithAtm (const QuantLib::ext::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
