You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
Deferred visibly from B2 (#573-576), which ships the ShiftedLognormal flat-surface stripping pipeline
(CapFloorTermVolSurface -> OptionletStripper1 -> StrippedOptionletAdapter) with the testFlatTermVolatilityStripping1 round-trip oracle.
testSwitchStrike (:876) - the floating switch-strike selection arm.
Non-flat term-vol oracle - testTermVolatilityStripping1 (:550) + the ...2 variants; fold
into T4 if under the LOC cap, else port here.
dontThrow mode on Stripper1; smileSectionImpl on the adapter (needs the unported
smile-section layer - consistent with the whole vol layer deferring smiles).
Priority: medium (rounds out the stripper; the flat ShiftedLognormal pipeline + round-trip are the
load-bearing proof). Epic: EPIC-9 #350.
Added (gate): T3's black_formula_implied_std_dev may require a finite guess and defer the Null-guess blackFormulaImpliedStdDevApproximation branch (the stripper always passes a finite guess, blackformula.cpp:425-427).
Optionlet stripping: deferred paths + oracle arms
Deferred visibly from B2 (#573-576), which ships the ShiftedLognormal flat-surface stripping pipeline
(CapFloorTermVolSurface -> OptionletStripper1 -> StrippedOptionletAdapter) with the
testFlatTermVolatilityStripping1round-trip oracle.Deferred
OptionletStripper1withvolatilityType == NormalneedsBachelierCapFloorEngine(deferred [QL-11.x][DEFER] BachelierCapFloorEngine + DiscretizedCapFloor lattice path #440) +bachelierBlackFormulaImpliedVol. OracletestTermVolatilityStrippingNormalVol(optionletstripper.cpp:611).optionletstripper2.{hpp,cpp}) - the atm-strike correction layer on top ofStripper1.
testTermVolatilityStripping1ON(:922), overnight-index caps.:876) - the floating switch-strike selection arm.testTermVolatilityStripping1(:550) + the...2variants; foldinto T4 if under the LOC cap, else port here.
dontThrowmode on Stripper1;smileSectionImplon the adapter (needs the unportedsmile-section layer - consistent with the whole vol layer deferring smiles).
Priority: medium (rounds out the stripper; the flat ShiftedLognormal pipeline + round-trip are the
load-bearing proof). Epic: EPIC-9 #350.
Added (gate): T3's
black_formula_implied_std_devmay require a finite guess and defer the Null-guessblackFormulaImpliedStdDevApproximationbranch (the stripper always passes a finite guess,blackformula.cpp:425-427).