public OptionletStripper1(CapFloorTermVolSurface termVolSurface, IborIndex index,
double?switchStrike = null,
double accuracy = 1.0e-6,
int maxIter = 100,
Handle <YieldTermStructure> discount = null,
VolatilityType type = VolatilityType.ShiftedLognormal,
double displacement = 0.0,
bool dontThrow = false)
: base(termVolSurface, index, discount, type, displacement)
{
volQuotes_ = new InitializedList <List <SimpleQuote> >(nOptionletTenors_,
new InitializedList <SimpleQuote>(nStrikes_, new SimpleQuote()));
floatingSwitchStrike_ = switchStrike == null;
capFlooMatrixNotInitialized_ = true;
switchStrike_ = switchStrike;
accuracy_ = accuracy;
maxIter_ = maxIter;
dontThrow_ = dontThrow;
capFloorPrices_ = new Matrix(nOptionletTenors_, nStrikes_);
optionletPrices_ = new Matrix(nOptionletTenors_, nStrikes_);
capFloorVols_ = new Matrix(nOptionletTenors_, nStrikes_);
double firstGuess = 0.14; // guess is only used for shifted lognormal vols
optionletStDevs_ = new Matrix(nOptionletTenors_, nStrikes_, firstGuess);
capFloors_ = new InitializedList <List <CapFloor> >(nOptionletTenors_);
}
protected OptionletStripper(CapFloorTermVolSurface termVolSurface, IborIndex iborIndex,
Handle <YieldTermStructure> discount = null,
VolatilityType type = VolatilityType.ShiftedLognormal,
double displacement = 0.0)
{
termVolSurface_ = termVolSurface;
iborIndex_ = iborIndex;
discount_ = discount ?? new Handle <YieldTermStructure>();
nStrikes_ = termVolSurface.strikes().Count;
volatilityType_ = type;
displacement_ = displacement;
if (volatilityType_ == VolatilityType.Normal)
{
Utils.QL_REQUIRE(displacement_.IsEqual(0.0), () =>
"non-null displacement is not allowed with Normal model");
}
termVolSurface.registerWith(update);
iborIndex_.registerWith(update);
discount_.registerWith(update);
Settings.Instance.registerWith(update);
Period indexTenor = iborIndex_.tenor();
Period maxCapFloorTenor = termVolSurface.optionTenors().Last();
// optionlet tenors and capFloor lengths
optionletTenors_.Add(indexTenor);
capFloorLengths_.Add(optionletTenors_.Last() + indexTenor);
Utils.QL_REQUIRE(maxCapFloorTenor >= capFloorLengths_.Last(), () =>
"too short (" + maxCapFloorTenor + ") capfloor term vol termVolSurface");
Period nextCapFloorLength = capFloorLengths_.Last() + indexTenor;
while (nextCapFloorLength <= maxCapFloorTenor)
{
optionletTenors_.Add(capFloorLengths_.Last());
capFloorLengths_.Add(nextCapFloorLength);
nextCapFloorLength += indexTenor;
}
nOptionletTenors_ = optionletTenors_.Count;
optionletVolatilities_ = new InitializedList <List <double> >(nOptionletTenors_);
for (int x = 0; x < nOptionletTenors_; x++)
{
optionletVolatilities_[x] = new InitializedList <double>(nStrikes_);
}
optionletStrikes_ = new InitializedList <List <double> >(nOptionletTenors_);
for (int x = 0; x < nOptionletTenors_; x++)
{
optionletStrikes_[x] = new List <double>(termVolSurface.strikes());
}
optionletDates_ = new InitializedList <Date>(nOptionletTenors_);
optionletTimes_ = new InitializedList <double>(nOptionletTenors_);
atmOptionletRate_ = new InitializedList <double>(nOptionletTenors_);
optionletPaymentDates_ = new InitializedList <Date>(nOptionletTenors_);
optionletAccrualPeriods_ = new InitializedList <double>(nOptionletTenors_);
}