Linux Certif

Toute la documentation sur la certification Linux LPI

QuantLib_SwaptionVolatilityCube

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

Generated automatically by Doxygen for QuantLib from the source code.