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QuantLib_SwaptionVolatilityMatrix

NAME

QuantLib::SwaptionVolatilityMatrix -

At-the-money swaption-volatility matrix.

SYNOPSIS

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

Inherits QuantLib::SwaptionVolatilityDiscrete, and boost::noncopyable.

Public Member Functions

SwaptionVolatilityMatrix (const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter)
floating reference date, floating market data
SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter)
fixed reference date, floating market data
SwaptionVolatilityMatrix (const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter)
floating reference date, fixed market data
SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter)
fixed reference date, fixed market data
SwaptionVolatilityMatrix (const Date &referenceDate, const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter)

LazyObject interface

 

void performCalculations () const

TermStructure interface

 

Date maxDate () const

VolatilityTermStructure interface

 

Rate minStrike () const

Rate maxStrike () const

SwaptionVolatilityStructure interface

 

const Period & maxSwapTenor () const

Other inspectors

 

std::pair< Size, Size > locate (const Date &optionDate, const Period &swapTenor) const
returns the lower indexes of surrounding volatility matrix corners
std::pair< Size, Size > locate (Time optionTime, Time swapLength) const
returns the lower indexes of surrounding volatility matrix corners

Protected Member Functions

boost::shared_ptr< SmileSection > smileSectionImpl (Time, Time) const

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

Detailed Description

At-the-money swaption-volatility matrix.

This class provides the at-the-money volatility for a given swaption by interpolating a volatility matrix whose elements are the market volatilities of a set of swaption with given option date and swapLength.

The volatility matrix M must be defined so that:

*

the number of rows equals the number of option dates;

*

the number of columns equals the number of swap tenors;

*

M[i][j] contains the volatility corresponding to the i-th option and j-th tenor.

Author

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