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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html">SwaptionVolatilityCube</a></div>
<h1>SwaptionVolatilityCube Class Reference</h1><!-- doxytag: class="QuantLib::SwaptionVolatilityCube" --><!-- doxytag: inherits="QuantLib::SwaptionVolatilityStructure" --><code>#include <ql/Volatilities/swaptionvolcube.hpp></code>
<p>
Inheritance diagram for SwaptionVolatilityCube:<p><center><img src="class_quant_lib_1_1_swaption_volatility_cube__inherit__graph.png" border="0" usemap="#_swaption_volatility_cube__inherit__map" alt="Inheritance graph"></center>
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<area href="class_quant_lib_1_1_swaption_volatility_structure.html" shape="rect" coords="59,156,264,180" alt="">
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_swaption_volatility_cube-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000088">Warning:</a></b></dt><dd>this class is not finalized and its interface might change in subsequent releases. </dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d28c3c50eda6561a45bf80c033f271d0"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::SwaptionVolatilityCube" ref="d28c3c50eda6561a45bf80c033f271d0" args="(const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &expiries, const std::vector< Period > &lengths, const std::vector< Spread > &strikeSpreads, const Calendar &calendar, Integer swapSettlementDays, Frequency fixedLegFrequency, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< Xibor > &iborIndex, Time shortTenor=2, const boost::shared_ptr< Xibor > &iborIndexShortTenor=boost::shared_ptr< Xibor >())" -->
</td><td class="memItemRight" valign="bottom"><b>SwaptionVolatilityCube</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html">SwaptionVolatilityStructure</a> > &atmVolStructure, const std::vector< <a class="el" href="class_quant_lib_1_1_period.html">Period</a> > &expiries, const std::vector< <a class="el" href="class_quant_lib_1_1_period.html">Period</a> > &lengths, const std::vector< Spread > &strikeSpreads, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, Integer swapSettlementDays, <a class="el" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> fixedLegFrequency, <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> fixedLegConvention, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &fixedLegDayCounter, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > &iborIndex, Time shortTenor=2, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > &iborIndexShortTenor=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> >())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="12e6621b980964b337ceb6d306654759"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::atmStrike" ref="12e6621b980964b337ceb6d306654759" args="(const Period &optionTenor, const Period &swapTenor) const " -->
Rate </td><td class="memItemRight" valign="bottom"><b>atmStrike</b> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &optionTenor, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &swapTenor) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0aae6a914cd4a27e2141607516c71a15"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::atmStrike" ref="0aae6a914cd4a27e2141607516c71a15" args="(const Date &optionDate, const Period &swapTenor) const" -->
Rate </td><td class="memItemRight" valign="bottom"><b>atmStrike</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &optionDate, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &swapTenor) const</td></tr>
<tr><td colspan="2"><div class="groupHeader">TermStructure interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff31fd8f746185f9532fedc2145d9abe"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::referenceDate" ref="ff31fd8f746185f9532fedc2145d9abe" args="() const" -->
const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#ff31fd8f746185f9532fedc2145d9abe">referenceDate</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the date at which discount = 1.0 and/or variance = 0.0 <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d49654ea33055b03f8666910acc13880"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::dayCounter" ref="d49654ea33055b03f8666910acc13880" args="() const" -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#d49654ea33055b03f8666910acc13880">dayCounter</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">SwaptionVolatilityStructure interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fbce30aded8302a5a47dfa9454699ce5"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::maxStartDate" ref="fbce30aded8302a5a47dfa9454699ce5" args="() const" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#fbce30aded8302a5a47dfa9454699ce5">maxStartDate</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest start date for which the term structure can return vols <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1d86f95f9631dd987c50df571a40353b"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::maxStartTime" ref="1d86f95f9631dd987c50df571a40353b" args="() const" -->
Time </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#1d86f95f9631dd987c50df571a40353b">maxStartTime</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest start time for which the term structure can return vols <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8e73a828556c9fead978806dddb20ca7"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::maxLength" ref="8e73a828556c9fead978806dddb20ca7" args="() const" -->
<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#8e73a828556c9fead978806dddb20ca7">maxLength</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the largest length for which the term structure can return vols <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6e275a9cb50e4ac17eb82e57110738e7"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::maxTimeLength" ref="6e275a9cb50e4ac17eb82e57110738e7" args="() const" -->
Time </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#6e275a9cb50e4ac17eb82e57110738e7">maxTimeLength</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the largest length for which the term structure can return vols <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cd909bc54367d9d6352149375c56f263"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::minStrike" ref="cd909bc54367d9d6352149375c56f263" args="() const" -->
Rate </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#cd909bc54367d9d6352149375c56f263">minStrike</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the minimum strike for which the term structure can return vols <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c57bee91b260d6f11aa0e6264cc69bd5"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::maxStrike" ref="c57bee91b260d6f11aa0e6264cc69bd5" args="() const" -->
Rate </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#c57bee91b260d6f11aa0e6264cc69bd5">maxStrike</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the maximum strike for which the term structure can return vols <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">SwaptionVolatilityStructure interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="939fc6edfe6942adbbc7317fd35554f5"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::convertDates" ref="939fc6edfe6942adbbc7317fd35554f5" args="(const Date &exerciseDate, const Period &length) const" -->
std::pair< Time, Time > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#939fc6edfe6942adbbc7317fd35554f5">convertDates</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &exerciseDate, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &length) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">implements the conversion between dates and times <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="78e845bd6fdac236ce76ad2f2c799bd3"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::atmVolStructure_" ref="78e845bd6fdac236ce76ad2f2c799bd3" args="" -->
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html">SwaptionVolatilityStructure</a> > </td><td class="memItemRight" valign="bottom"><b>atmVolStructure_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="85aad079bf959f98365f324c7f4f4390"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::exerciseDates_" ref="85aad079bf959f98365f324c7f4f4390" args="" -->
std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > </td><td class="memItemRight" valign="bottom"><b>exerciseDates_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a010100d61810501bed98b1773802fe5"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::exerciseTimes_" ref="a010100d61810501bed98b1773802fe5" args="" -->
std::vector< Time > </td><td class="memItemRight" valign="bottom"><b>exerciseTimes_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="aa768befe78751f3b36e4a0567155f9d"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::exerciseDatesAsReal_" ref="aa768befe78751f3b36e4a0567155f9d" args="" -->
std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>exerciseDatesAsReal_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab41f395d24d09989dd7549636f0d1b0"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::exerciseInterpolator_" ref="ab41f395d24d09989dd7549636f0d1b0" args="" -->
<a class="el" href="class_quant_lib_1_1_linear_interpolation.html">LinearInterpolation</a> </td><td class="memItemRight" valign="bottom"><b>exerciseInterpolator_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff182dc928ddeec5677746fde2c0d0dc"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::lengths_" ref="ff182dc928ddeec5677746fde2c0d0dc" args="" -->
std::vector< <a class="el" href="class_quant_lib_1_1_period.html">Period</a> > </td><td class="memItemRight" valign="bottom"><b>lengths_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c9fae64f83ea2e083850ff5a27928802"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::timeLengths_" ref="c9fae64f83ea2e083850ff5a27928802" args="" -->
std::vector< Time > </td><td class="memItemRight" valign="bottom"><b>timeLengths_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f87e1635842e22aec5a33cf8f07584a4"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::nExercise_" ref="f87e1635842e22aec5a33cf8f07584a4" args="" -->
Size </td><td class="memItemRight" valign="bottom"><b>nExercise_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f02edd975850cb243adf3d4c594d7a3a"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::nlengths_" ref="f02edd975850cb243adf3d4c594d7a3a" args="" -->
Size </td><td class="memItemRight" valign="bottom"><b>nlengths_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="67ae5ca8c9285c2e266d0472b1c1e7ad"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::nStrikes_" ref="67ae5ca8c9285c2e266d0472b1c1e7ad" args="" -->
Size </td><td class="memItemRight" valign="bottom"><b>nStrikes_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2c6c31fe4bdd0b5ed596e2efe1319516"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::strikeSpreads_" ref="2c6c31fe4bdd0b5ed596e2efe1319516" args="" -->
std::vector< Spread > </td><td class="memItemRight" valign="bottom"><b>strikeSpreads_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a0eb661c1898495e2505f206b0e949b1"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::localStrikes_" ref="a0eb661c1898495e2505f206b0e949b1" args="" -->
std::vector< Rate > </td><td class="memItemRight" valign="bottom"><b>localStrikes_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6d32df93ed086d2339d82daab7c5b93e"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::localSmile_" ref="6d32df93ed086d2339d82daab7c5b93e" args="" -->
std::vector< Volatility > </td><td class="memItemRight" valign="bottom"><b>localSmile_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5041f04afa34aea8678120ee867a191a"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::swapSettlementDays_" ref="5041f04afa34aea8678120ee867a191a" args="" -->
Integer </td><td class="memItemRight" valign="bottom"><b>swapSettlementDays_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="561df611d3e7c6bc20c51e7c19e08dba"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::fixedLegFrequency_" ref="561df611d3e7c6bc20c51e7c19e08dba" args="" -->
<a class="el" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegFrequency_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8d485270c1e58e6834d7ae82c2a3f4a6"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::fixedLegConvention_" ref="8d485270c1e58e6834d7ae82c2a3f4a6" args="" -->
<a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegConvention_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegDayCounter_</b></td></tr>
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boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > </td><td class="memItemRight" valign="bottom"><b>iborIndex_</b></td></tr>
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Time </td><td class="memItemRight" valign="bottom"><b>shortTenor_</b></td></tr>
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boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > </td><td class="memItemRight" valign="bottom"><b>iborIndexShortTenor_</b></td></tr>
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