SwaptionVolatilityCube (3) - Linux Manuals

SwaptionVolatilityCube: swaption-volatility cube

NAME

QuantLib::SwaptionVolatilityCube - swaption-volatility cube

SYNOPSIS

#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>

Inherits QuantLib::SwaptionVolatilityDiscrete.

Inherited by SwaptionVolCube1, and SwaptionVolCube2.

Public Member Functions

SwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit)

TermStructure interface

DayCounter dayCounter () const
the day counter used for date/time conversion
Date maxDate () const
the latest date for which the curve can return values
Time maxTime () const
the latest time for which the curve can return values
const Date & referenceDate () const
the date at which discount = 1.0 and/or variance = 0.0
Calendar calendar () const
the calendar used for reference and/or option date calculation
Natural settlementDays () const
the settlementDays used for reference date calculation

VolatilityTermStructure interface

Rate minStrike () const
the minimum strike for which the term structure can return vols
Rate maxStrike () const
the maximum strike for which the term structure can return vols

SwaptionVolatilityStructure interface

const Period & maxSwapTenor () const
the largest length for which the term structure can return vols

Other inspectors

Rate atmStrike (const Date &optionDate, const Period &swapTenor) const

Rate atmStrike (const Period &optionTenor, const Period &swapTenor) const

Protected Member Functions

void registerWithVolatilitySpread ()

Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const

Volatility volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const

Protected Attributes

Handle< SwaptionVolatilityStructure > atmVol_

Size nStrikes_

std::vector< Spread > strikeSpreads_

std::vector< Rate > localStrikes_

std::vector< Volatility > localSmile_

std::vector< std::vector< Handle< Quote > > > volSpreads_

boost::shared_ptr< SwapIndex > swapIndexBase_

boost::shared_ptr< SwapIndex > shortSwapIndexBase_

bool vegaWeightedSmileFit_

Detailed Description

swaption-volatility cube

Warning

this class is not finalized and its interface might change in subsequent releases.

Author

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