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QPR-12325 udpate docs
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‎Docs/UserGuide/curve_configurations/capfloorvolatility.tex‎

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@@ -358,6 +358,10 @@ \subsubsection{Cap Floor Volatility Structures}
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\item \lstinline!StrikeInterpolation!:
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Indicates the interpolation and extrapolation, if allowed by the \lstinline!Extrapolation! node, in the strike direction. Again, as \lstinline!InterpolateOn! is set to \lstinline!OptionletVolatilities! here, the interpolation is used to interpolate the optionlet volatilities in the strike direction. The allowable values are \lstinline!Linear!, \lstinline!LinearFlat!, \lstinline!Cubic! and \lstinline!CubicFlat! or one of the SABR variants Hagan2002Lognormal, Hagan2002Normal, Hagan2002NormalZeroBeta, Antonov2015FreeBoundaryNormal, KienitzLawsonSwaynePde, FlochKennedy. The SABR variants are only supported for InterpolateOn = OptionVolatilities (or if InputType = OptionletVolatilities). If not set, \lstinline!LinearFlat! is assumed.
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\item ParametricSmileConfiguration: Optional. Applies to SABR only. If not given, default values are used. Allows to specify initial values
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for calibrated parameters, to exclude single parameters from calibration and to set calibration parameters. See
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listing \ref{lst:capfloorvol_parametric_smile_config}.
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\item \lstinline!QuoteIncludesIndexName! [Optional]:
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If true, the quote labels that are looked up in the market data to build the surface include the index name as e.g. in \lstinline!CAPFLOOR/RATE_NVOL/USD/USD-LIBOR-3M/1Y/3M/0/0/0.01!. If false, the index name is not include as in \lstinline!CAPFLOOR/RATE_NVOL/USD/1Y/3M/0/0/0.01!. If the flag is not given, it defaults to false. Including the index name in the market quotes allows to build cap surfaces on different underlying indices with the same tenor. The flag also affects shift quotes as e.g. \lstinline!CAPFLOOR/SHIFT/USD/USD-LIBOR-3M/5Y! (index included in quote) vs. \lstinline!CAPFLOOR/SHIFT/USD/5Y! (index not included in quote).
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\caption{Cap floor surface with optionlet volatilities input.}
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\label{lst:capfloorvol_optionlet_surface_configuration}
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\end{longlisting}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<ParametricSmileConfiguration>
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<Parameters>
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<Parameter>
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<Name>alpha</Name>
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<InitialValue>0.0050</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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<Parameter>
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<Name>beta</Name>
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<InitialValue>0.0</InitialValue>
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<IsFixed>true</IsFixed>
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</Parameter>
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<Parameter>
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<Name>nu</Name>
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<InitialValue>0.30</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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<Parameter>
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<Name>rho</Name>
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<InitialValue>0.0</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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</Parameters>
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<Calibration>
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<MaxCalibrationAttempts>10</MaxCalibrationAttempts>
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<ExitEarlyErrorThreshold>0.005</ExitEarlyErrorThreshold>
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<MaxAcceptableError>0.05</MaxAcceptableError>
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</Calibration>
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</ParametricSmileConfiguration>
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\end{minted}
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\caption{Cap floor surface with optionlet volatilities input.}
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\label{lst:capfloorvol_parametric_smile_config}
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\end{longlisting}

‎Docs/UserGuide/parameterisation/curveconfig.tex‎

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@@ -43,6 +43,35 @@ \subsubsection{Swaption Volatility Structures}
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<Dimension>ATM</Dimension>
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<VolatilityType>Normal</VolatilityType>
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<Interpolation>Hagan2002NormalZeroBeta</Interpolation>
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<ParametricSmileConfiguration>
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<Parameters>
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<Parameter>
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<Name>alpha</Name>
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<InitialValue>0.0050</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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<Parameter>
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<Name>beta</Name>
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<InitialValue>0.0</InitialValue>
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<IsFixed>true</IsFixed>
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</Parameter>
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<Parameter>
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<Name>nu</Name>
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<InitialValue>0.30</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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<Parameter>
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<Name>rho</Name>
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<InitialValue>0.0</InitialValue>
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<IsFixed>false</IsFixed>
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</Parameter>
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</Parameters>
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<Calibration>
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<MaxCalibrationAttempts>10</MaxCalibrationAttempts>
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<ExitEarlyErrorThreshold>0.005</ExitEarlyErrorThreshold>
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<MaxAcceptableError>0.05</MaxAcceptableError>
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</Calibration>
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</ParametricSmileConfiguration>
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<Extrapolation>Flat</Extrapolation>
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<OutputVolatilityType>Normal</OutputVolatilityType>
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<DayCounter>Actual/365 (Fixed)</DayCounter>
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In the case of {\tt ShiftedLognormal}, a matrix of shifts (by option and swap tenor) has to be provided in the market data input.
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\item Interpolation: Optional. Possible values: Linear, Hagan2002Lognormal, Hagan2002Normal, Hagan2002NormalZeroBeta,
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Antonov2015FreeBoundaryNormal, KienitzLawsonSwaynePde, FlochKennedy. If not given, defaults to Linear.
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\item ParametricSmileConfiguration: Optional. Applies to SABR only. If not given, default values are used. Allows to
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specify initial values for calibrated parameters, to exclude single parameters from calibration and to set calibration
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parameters.
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\item Extrapolation: Specifies the extrapolation behaviour in all dimensions. \\ Allowable values: {\tt Linear, Flat,
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None}
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\item OutputVolatilityType: Optional, defaults to input volatility type and applies to SABR variants only. For

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