Class StrippedYoYOptionlets

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

Year-on-year optionlet volatilities stripped along each strike: a volatility curve per strike, what QuantLib's YoYOptionletStripper holds after its initialize.

[Experimental("NQL0001")]
public sealed class StrippedYoYOptionlets

Inheritance

object

StrippedYoYOptionlets

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Slice(Date) is QuantLib's slice, each curve read at the date through its own observation lag; Slice(double) reads each curve at a time on its own clock, with no lag, which KInterpolatedYoYOptionletVolatilitySurface<TInterpolator> reads.

Constructors

StrippedYoYOptionlets(IEnumerable<double>, IEnumerable<YoYOptionletVolatilitySurface>)

Initializes a new instance of the StrippedYoYOptionlets class.

public StrippedYoYOptionlets(IEnumerable<double> strikes, IEnumerable<YoYOptionletVolatilitySurface> curves)

Parameters

strikes IEnumerable<double>

The strikes, increasing.

curves IEnumerable<YoYOptionletVolatilitySurface>

The volatility curve stripped at each strike, one per strike.

Exceptions

ArgumentNullException

An argument or a curve is null.

ArgumentException

The curves aren't one per strike, or there is no strike.

Properties

Curves

Gets the volatility curve stripped at each strike, one per strike.

public ImmutableArray<YoYOptionletVolatilitySurface> Curves { get; }

Property Value

ImmutableArray<YoYOptionletVolatilitySurface>

MaxStrike

Gets the highest strike.

public double MaxStrike { get; }

Property Value

double

MinStrike

Gets the lowest strike.

public double MinStrike { get; }

Property Value

double

Strikes

Gets the strikes.

public ImmutableArray<double> Strikes { get; }

Property Value

ImmutableArray<double>

Methods

Slice(Date)

The volatilities at a date, each strike's curve read at the date and its strike: QuantLib's slice.

public (ImmutableArray<double> Strikes, ImmutableArray<double> Volatilities) Slice(Date d)

Parameters

d Date

The date, observed through each curve's lag.

Returns

(ImmutableArray<double> Times, ImmutableArray<double> Rates)

The strikes and the volatilities.

Exceptions

NanoQLException

A curve can't give a volatility at the date.

Slice(double)

The volatilities at a time, each strike's curve read at the time and its strike.

public (ImmutableArray<double> Strikes, ImmutableArray<double> Volatilities) Slice(double t)

Parameters

t double

The time on the curves' clock, already observed: no lag is applied.

Returns

(ImmutableArray<double> Times, ImmutableArray<double> Rates)

The strikes and the volatilities.

Exceptions

NanoQLException

A curve can't give a volatility at the time.