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QuantLib_SwaptionVolatilityCube
Langue: en
Version: 377519 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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
Date maxDate () const
Time maxTime () const
const Date & referenceDate () const
Calendar calendar () const
Natural settlementDays () const
VolatilityTermStructure interface
Rate minStrike () const
Rate maxStrike () const
SwaptionVolatilityStructure interface
const Period & maxSwapTenor () const
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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