1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: SwaptionVolatilityCube Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<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::SwaptionVolatilityDiscrete" --><code>#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp></code>
<p>
Inherits SwaptionVolatilityDiscrete.
<p>
Inherited by SwaptionVolCube1, and SwaptionVolCube2.
<p>
<p>
<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>
swaption-volatility cube
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000099">Warning:</a></b></dt><dd>this class is not finalized and its interface might change in subsequent releases. </dd></dl>
<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="ded1d5bb3e95d6976a58b36603bbd084"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::SwaptionVolatilityCube" ref="ded1d5bb3e95d6976a58b36603bbd084" args="(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, bool vegaWeightedSmileFit)" -->
</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> > &optionTenors, const std::vector< <a class="el" href="class_quant_lib_1_1_period.html">Period</a> > &swapTenors, const std::vector< <a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> > &strikeSpreads, const std::vector< std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > > &volSpreads, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > &swapIndexBase, bool vegaWeightedSmileFit)</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="c147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::dayCounter" ref="c147d63df367bbe5282b76b1f98cb9be" 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#c147d63df367bbe5282b76b1f98cb9be">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 class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::maxDate" ref="74d8fc5480ca811db8332b7b30597fe9" 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#74d8fc5480ca811db8332b7b30597fe9">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="3b8677915d5a95b48578b82ed1d7508f"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::maxTime" ref="3b8677915d5a95b48578b82ed1d7508f" args="() const " -->
<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#3b8677915d5a95b48578b82ed1d7508f">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="4a72314adf5959d9427df0fad16a1d3b"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::referenceDate" ref="4a72314adf5959d9427df0fad16a1d3b" 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#4a72314adf5959d9427df0fad16a1d3b">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="e9a0f3904cff2fe61596c593dd0b6448"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::calendar" ref="e9a0f3904cff2fe61596c593dd0b6448" args="() const " -->
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#e9a0f3904cff2fe61596c593dd0b6448">calendar</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the calendar used for reference and/or option date calculation <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="a42d63fa6f2a1c9d377c25ca63fa5f6c"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::maxSwapTenor" ref="a42d63fa6f2a1c9d377c25ca63fa5f6c" args="() const " -->
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#a42d63fa6f2a1c9d377c25ca63fa5f6c">maxSwapTenor</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="38b52da2964337ebb4d219b5dc5c2a3f"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::maxSwapLength" ref="38b52da2964337ebb4d219b5dc5c2a3f" args="() const " -->
<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#38b52da2964337ebb4d219b5dc5c2a3f">maxSwapLength</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the largest swapLength for which the term structure can return vols <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="92f7194103698b0abf537479db1bab49"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::minStrike" ref="92f7194103698b0abf537479db1bab49" args="() const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#92f7194103698b0abf537479db1bab49">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="f96d43a92083621b2e8e980ec2b666b9"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::maxStrike" ref="f96d43a92083621b2e8e980ec2b666b9" args="() const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#f96d43a92083621b2e8e980ec2b666b9">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"><div class="groupHeader">Other inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5d78247782146d4b70292706933b6235"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::atmStrike" ref="5d78247782146d4b70292706933b6235" args="(const Date &optionDate, const Period &swapTenor) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </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 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 " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </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 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="dff25d2f78583ecb085896f9e85787e4"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::convertDates" ref="dff25d2f78583ecb085896f9e85787e4" args="(const Date &optionDate, const Period &swapTenor) const " -->
std::pair< <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#dff25d2f78583ecb085896f9e85787e4">convertDates</a> (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 class="mdescLeft"> </td><td class="mdescRight">implements the conversion between dates and times <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f1cc8c4366c5575bc151f27dda13a478"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::registerWithVolatilitySpread" ref="f1cc8c4366c5575bc151f27dda13a478" args="()" -->
void </td><td class="memItemRight" valign="bottom"><b>registerWithVolatilitySpread</b> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8a847d5d307f3f57ade6263012526c31"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::volatilityImpl" ref="8a847d5d307f3f57ade6263012526c31" args="(Time optionTime, Time swapLength, Rate strike) 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_cube.html#8a847d5d307f3f57ade6263012526c31">volatilityImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> optionTime, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> swapLength, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> strike) const </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="d7c337ad2742139f606cdf738f4405b5"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::volatilityImpl" ref="d7c337ad2742139f606cdf738f4405b5" args="(const Date &optionDate, const Period &swapTenor, Rate strike) const " -->
<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> &optionDate, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &swapTenor, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> strike) const </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="4924c384111375749e7803634c13006b"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::atmVol_" ref="4924c384111375749e7803634c13006b" args="" -->
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><br>
< <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html">SwaptionVolatilityStructure</a> > </td><td class="memItemRight" valign="bottom"><b>atmVol_</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="" -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </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< <a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> > </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< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > </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< <a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > </td><td class="memItemRight" valign="bottom"><b>localSmile_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b492bc9d36b91b0ea5d53d89d0706eb5"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::volSpreads_" ref="b492bc9d36b91b0ea5d53d89d0706eb5" args="" -->
std::vector< std::vector<br>
< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > > > </td><td class="memItemRight" valign="bottom"><b>volSpreads_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="723651c2c92d5da0ed172d37edb73708"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::swapIndexBase_" ref="723651c2c92d5da0ed172d37edb73708" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > </td><td class="memItemRight" valign="bottom"><b>swapIndexBase_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7400870aad0a91aa7bfc981e8877a76c"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityCube::vegaWeightedSmileFit_" ref="7400870aad0a91aa7bfc981e8877a76c" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>vegaWeightedSmileFit_</b></td></tr>
</table>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
