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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html">SwaptionVolatilityStructure</a></div>
<h1>SwaptionVolatilityStructure Class Reference</h1><!-- doxytag: class="QuantLib::SwaptionVolatilityStructure" --><!-- doxytag: inherits="QuantLib::TermStructure" --><code>#include <ql/swaptionvolstructure.hpp></code>
<p>
Inheritance diagram for SwaptionVolatilityStructure:<p><center><img src="class_quant_lib_1_1_swaption_volatility_structure__inherit__graph.png" border="0" usemap="#_swaption_volatility_structure__inherit__map" alt="Inheritance graph"></center>
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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_structure-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Swaption-volatility structure
<p>
This class is purely abstract and defines the interface of concrete swaption volatility structures which will be derived from this one.
<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="6fa1d746e67f372c6e09e4ec9ad8973b"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::maxDate" ref="6fa1d746e67f372c6e09e4ec9ad8973b" 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_structure.html#6fa1d746e67f372c6e09e4ec9ad8973b">maxDate</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4950639c8f60a60050efe2772e1d6a2a"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::maxTime" ref="4950639c8f60a60050efe2772e1d6a2a" args="() const" -->
Time </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#4950639c8f60a60050efe2772e1d6a2a">maxTime</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the latest time for which the curve can return values <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3e6d54fdefb8a17d3f0c7322658ecb72"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::smileSection" ref="3e6d54fdefb8a17d3f0c7322658ecb72" args="(const Date &start, const Period &length) const" -->
virtual boost::shared_ptr<<br>
<a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><b>smileSection</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &start, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &length) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06def569d782dd42e62e2c35a840f0a9"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::convertDates" ref="06def569d782dd42e62e2c35a840f0a9" args="(const Date &exerciseDate, const Period &length) const" -->
virtual std::pair< Time, Time > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#06def569d782dd42e62e2c35a840f0a9">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"><div class="groupHeader">Volatility and Variance</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="82aa634bec702b990f6f855e0d4ec898"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::volatility" ref="82aa634bec702b990f6f855e0d4ec898" args="(const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const" -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#82aa634bec702b990f6f855e0d4ec898">volatility</a> (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, Rate strike, bool extrapolate=false) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the volatility for a given starting date and length <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d29339cb5acbf24cf972f89425ca4c4c"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::volatility" ref="d29339cb5acbf24cf972f89425ca4c4c" args="(const Date &exerciseDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const" -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#d29339cb5acbf24cf972f89425ca4c4c">volatility</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> &swapTenor, Rate strike, bool extrapolate=false) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the volatility for a given starting date and length <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1492ca471107cef52878abce0d59c39c"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::blackVariance" ref="1492ca471107cef52878abce0d59c39c" args="(const Date &exerciseDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#1492ca471107cef52878abce0d59c39c">blackVariance</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> &swapTenor, Rate strike, bool extrapolate=false) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the Black variance for a given starting date and length <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="74f83dac47a2ec6f1ae60a4a26e62f4d"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::volatility" ref="74f83dac47a2ec6f1ae60a4a26e62f4d" args="(Time exerciseTime, Time length, Rate strike, bool extrapolate=false) const" -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#74f83dac47a2ec6f1ae60a4a26e62f4d">volatility</a> (Time exerciseTime, Time length, Rate strike, bool extrapolate=false) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the volatility for a given starting time and length <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="affcec743f3bad714eb260f58c492918"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::blackVariance" ref="affcec743f3bad714eb260f58c492918" args="(Time exerciseTime, Time length, Rate strike, bool extrapolate=false) const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#affcec743f3bad714eb260f58c492918">blackVariance</a> (Time exerciseTime, Time length, Rate strike, bool extrapolate=false) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the Black variance for a given starting time and length <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Limits</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f4acaa32a7ce97ee0a8225c302ab9694"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::maxStartDate" ref="f4acaa32a7ce97ee0a8225c302ab9694" args="() const=0" -->
virtual <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_structure.html#f4acaa32a7ce97ee0a8225c302ab9694">maxStartDate</a> () const=0</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="a30c015bfdddd6de0d2499f3a3753f49"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::maxLength" ref="a30c015bfdddd6de0d2499f3a3753f49" args="() const=0" -->
virtual <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_structure.html#a30c015bfdddd6de0d2499f3a3753f49">maxLength</a> () const=0</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="1d86f95f9631dd987c50df571a40353b"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::maxStartTime" ref="1d86f95f9631dd987c50df571a40353b" args="() const" -->
virtual Time </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.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="6e275a9cb50e4ac17eb82e57110738e7"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::maxTimeLength" ref="6e275a9cb50e4ac17eb82e57110738e7" args="() const" -->
virtual Time </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.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="726745a2ec5f4cc7289bd326d594ef56"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::minStrike" ref="726745a2ec5f4cc7289bd326d594ef56" args="() const=0" -->
virtual Rate </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#726745a2ec5f4cc7289bd326d594ef56">minStrike</a> () const=0</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="531ddb7abbbd5c6c26f9562883cd4bd1"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::maxStrike" ref="531ddb7abbbd5c6c26f9562883cd4bd1" args="() const=0" -->
virtual Rate </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#531ddb7abbbd5c6c26f9562883cd4bd1">maxStrike</a> () const=0</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 class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b1a1846bb6de12edfa2fae09210def48"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::smileSection" ref="b1a1846bb6de12edfa2fae09210def48" args="(Time start, Time length) const=0" -->
virtual boost::shared_ptr<<br>
<a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#b1a1846bb6de12edfa2fae09210def48">smileSection</a> (Time start, Time length) const=0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">return smile section <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a763b4df282317ef2c1b1aef6e81ca62"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::volatilityImpl" ref="a763b4df282317ef2c1b1aef6e81ca62" args="(Time exerciseTime, Time length, Rate strike) const =0" -->
virtual <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#a763b4df282317ef2c1b1aef6e81ca62">volatilityImpl</a> (Time exerciseTime, Time length, Rate strike) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">implements the actual volatility calculation in derived classes <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9c08b76a4598b15598b1b66ad9da1a45"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::volatilityImpl" ref="9c08b76a4598b15598b1b66ad9da1a45" args="(const Date &exerciseDate, const Period &length, Rate strike) const " -->
virtual <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><b>volatilityImpl</b> (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, Rate strike) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bb6c16b42f51a7df53388dd389ec102b"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::checkRange" ref="bb6c16b42f51a7df53388dd389ec102b" args="(Time, Time, Rate strike, bool extrapolate) const" -->
void </td><td class="memItemRight" valign="bottom"><b>checkRange</b> (Time, Time, Rate strike, bool extrapolate) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0fabcaf6bf2d42802907627a63118ec9"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::checkRange" ref="0fabcaf6bf2d42802907627a63118ec9" args="(const Date &exerciseDate, const Period &length, Rate strike, bool extrapolate) const" -->
void </td><td class="memItemRight" valign="bottom"><b>checkRange</b> (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, Rate strike, bool extrapolate) const</td></tr>
</table>
<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="f03ed234a0303f72b8838103f38c1ff7"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityStructure::SwaptionVolatilityStructure" ref="f03ed234a0303f72b8838103f38c1ff7" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html">SwaptionVolatilityStructure</a> </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
default constructor
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000080">Warning:</a></b></dt><dd>term structures initialized by means of this constructor must manage their own reference date by overriding the <a class="el" href="class_quant_lib_1_1_term_structure.html#34aadf8e384e50e6ee34067cc448262a">referenceDate()</a> method. </dd></dl>
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default constructor
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<dl compact><dt><b><a class="el" href="caveats.html#_caveats000080">Warning:</a></b></dt><dd>term structures initialized by means of this constructor must manage their own reference date by overriding the <a class="el" href="class_quant_lib_1_1_term_structure.html#34aadf8e384e50e6ee34067cc448262a">referenceDate()</a> method. </dd></dl>
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