SabrStrippedOptionletAdapter< TimeInterpolator > Class Template Reference

Inheritance diagram for SabrStrippedOptionletAdapter< TimeInterpolator >:

Public Member Functions
	SabrStrippedOptionletAdapter (const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > &sob, const QuantExt::SabrParametricVolatility::ModelVariant modelVariant, const TimeInterpolator &ti=TimeInterpolator(), const boost::optional< QuantLib::VolatilityType > outputVolatilityType=boost::none, const std::vector< std::vector< std::pair< Real, bool >>> &initialModelParameters={}, const QuantLib::Size maxCalibrationAttempts=10, const QuantLib::Real exitEarlyErrorThreshold=0.005, const QuantLib::Real maxAcceptableError=0.05)
	SabrStrippedOptionletAdapter (const QuantLib::Date &referenceDate, const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > &sob, const QuantExt::SabrParametricVolatility::ModelVariant modelVariant, const TimeInterpolator &ti=TimeInterpolator(), const boost::optional< QuantLib::VolatilityType > outputVolatilityType=boost::none, const std::vector< std::vector< std::pair< Real, bool >>> &initialModelParameters={}, const QuantLib::Size maxCalibrationAttempts=10, const QuantLib::Real exitEarlyErrorThreshold=0.005, const QuantLib::Real maxAcceptableError=0.05)
TermStructure interface
QuantLib::Date	maxDate () const override
VolatilityTermStructure interface
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override
LazyObject interface
void	update () override
void	performCalculations () const override
Observer interface
void	deepUpdate () override
Inspectors
QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase >	optionletBase () const
QuantLib::ext::shared_ptr< QuantExt::ParametricVolatility >	parametricVolatility () const

OptionletVolatilityStructure interface
QuantLib::VolatilityType	volatilityType () const override
QuantLib::Real	displacement () const override
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (QuantLib::Time optionTime) const override
QuantLib::Volatility	volatilityImpl (QuantLib::Time length, QuantLib::Rate strike) const override

Constructor & Destructor Documentation

SabrStrippedOptionletAdapter() [1/2]

SabrStrippedOptionletAdapter	(	const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > &	sob,
		const QuantExt::SabrParametricVolatility::ModelVariant	modelVariant,
		const TimeInterpolator &	ti = TimeInterpolator(),
		const boost::optional< QuantLib::VolatilityType >	outputVolatilityType = boost::none,
		const std::vector< std::vector< std::pair< Real, bool >>> &	initialModelParameters = {},
		const QuantLib::Size	maxCalibrationAttempts = 10,
		const QuantLib::Real	exitEarlyErrorThreshold = 0.005,
		const QuantLib::Real	maxAcceptableError = 0.05
	)

Constructor that does not take a reference date. The settlement days is derived from sob and the term structure will be a moving term structure.

SabrStrippedOptionletAdapter() [2/2]

SabrStrippedOptionletAdapter	(	const QuantLib::Date &	referenceDate,
		const QuantLib::ext::shared_ptr< QuantLib::StrippedOptionletBase > &	sob,
		const QuantExt::SabrParametricVolatility::ModelVariant	modelVariant,
		const TimeInterpolator &	ti = TimeInterpolator(),
		const boost::optional< QuantLib::VolatilityType >	outputVolatilityType = boost::none,
		const std::vector< std::vector< std::pair< Real, bool >>> &	initialModelParameters = {},
		const QuantLib::Size	maxCalibrationAttempts = 10,
		const QuantLib::Real	exitEarlyErrorThreshold = 0.005,
		const QuantLib::Real	maxAcceptableError = 0.05
	)

Constructor taking an explicit referenceDate and the term structure will therefore be not moving.