SwaptionVolatilityCube Class Reference

swaption-volatility cube More...

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

Inherits SwaptionVolatilityDiscrete.

Inherited by SwaptionVolCube1x< Model >, 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 ext::shared_ptr< SwapIndex > &swapIndexBase, const ext::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
Handle< SwaptionVolatilityStructure >	atmVol () const
const std::vector< Spread > &	strikeSpreads () const
const std::vector< std::vector< Handle< Quote > > > &	volSpreads () const
ext::shared_ptr< SwapIndex >	swapIndexBase () const
ext::shared_ptr< SwapIndex >	shortSwapIndexBase () const
bool	vegaWeightedSmileFit () const

LazyObject interface
Handle< SwaptionVolatilityStructure >	atmVol_
Size	nStrikes_
std::vector< Spread >	strikeSpreads_
std::vector< Rate >	localStrikes_
std::vector< Volatility >	localSmile_
std::vector< std::vector< Handle< Quote > > >	volSpreads_
ext::shared_ptr< SwapIndex >	swapIndexBase_
ext::shared_ptr< SwapIndex >	shortSwapIndexBase_
bool	vegaWeightedSmileFit_
void	performCalculations () const
VolatilityType	volatilityType () const
	volatility type
void	registerWithVolatilitySpread ()
virtual Size	requiredNumberOfStrikes () const
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const
Volatility	volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const
Real	shiftImpl (Time optionTime, Time swapLength) const

Detailed Description

swaption-volatility cube

Warning:

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

Member Function Documentation

performCalculations()

void performCalculations ( ) const

virtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.