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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html">SwaptionVolatilityMatrix</a></div>
<h1>SwaptionVolatilityMatrix Class Reference</h1><!-- doxytag: class="QuantLib::SwaptionVolatilityMatrix" --><!-- doxytag: inherits="QuantLib::SwaptionVolatilityDiscrete,boost::noncopyable" --><code>#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp></code>
<p>
Inherits SwaptionVolatilityDiscrete, and boost::noncopyable.
<p>
<p>
<a href="class_quant_lib_1_1_swaption_volatility_matrix-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
At-the-money swaption-volatility matrix.
<p>
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.<p>
The volatility matrix <code>M</code> must be defined so that:<ul>
<li>the number of rows equals the number of option dates;</li><li>the number of columns equals the number of swap tenors;</li><li><code>M[i][j]</code> contains the volatility corresponding to the <code>i</code>-th option and <code>j</code>-th tenor. </li></ul>
<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="93c31e5a26f6d505f381be87312848df"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix" ref="93c31e5a26f6d505f381be87312848df" args="(const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#93c31e5a26f6d505f381be87312848df">SwaptionVolatilityMatrix</a> (const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, 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< 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> > > > &vols, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>(), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">floating reference date, floating market data <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="59682d9c8d931d3fafcfd33bdcd2c99d"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix" ref="59682d9c8d931d3fafcfd33bdcd2c99d" args="(const Date &referenceDate, const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#59682d9c8d931d3fafcfd33bdcd2c99d">SwaptionVolatilityMatrix</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, 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< 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> > > > &vols, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>(), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">fixed reference date, floating market data <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="31c0a13eb52e26cdd617b79b36f10f51"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix" ref="31c0a13eb52e26cdd617b79b36f10f51" args="(const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#31c0a13eb52e26cdd617b79b36f10f51">SwaptionVolatilityMatrix</a> (const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, 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 <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &volatilities, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>(), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">floating reference date, fixed market data <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7585f8b022361406475f512593855334"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix" ref="7585f8b022361406475f512593855334" args="(const Date &referenceDate, const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#7585f8b022361406475f512593855334">SwaptionVolatilityMatrix</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, 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 <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &volatilities, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>(), <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc=Following)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">fixed reference date, fixed market data <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b764a599d00104735fcec7d963b81ae"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix" ref="7b764a599d00104735fcec7d963b81ae" args="(const Date &referenceDate, const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter)" -->
</td><td class="memItemRight" valign="bottom"><b>SwaptionVolatilityMatrix</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &referenceDate, const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &optionDates, const std::vector< <a class="el" href="class_quant_lib_1_1_period.html">Period</a> > &swapTenors, const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &volatilities, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter)</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="74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::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_matrix.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 colspan="2"><div class="groupHeader">LazyObject interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#02b90bbfee3ee29627939544fb59ec93">performCalculations</a> () const </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="ab612f40ee132a09e19f67c16e502cdb"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::maxSwapTenor" ref="ab612f40ee132a09e19f67c16e502cdb" 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_matrix.html#ab612f40ee132a09e19f67c16e502cdb">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::SwaptionVolatilityMatrix::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_matrix.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::SwaptionVolatilityMatrix::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_matrix.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::SwaptionVolatilityMatrix::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_matrix.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 class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="04f2608add446a8af9cfe54291488e82"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::smileSectionImpl" ref="04f2608add446a8af9cfe54291488e82" args="(Time optionTime, Time swapLength) const " -->
boost::shared_ptr< <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_matrix.html#04f2608add446a8af9cfe54291488e82">smileSectionImpl</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> optionTime, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> swapLength) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">return trivial smile section <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="8501e9a23e25d9a560ac6824e91f2f1c"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::locate" ref="8501e9a23e25d9a560ac6824e91f2f1c" args="(const Date &optionDates, const Period &swapTenor) const " -->
std::pair< <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#8501e9a23e25d9a560ac6824e91f2f1c">locate</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &optionDates, 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">returns the lower indexes of surrounding volatility matrix corners <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="574dce56407af0169a12066c3d2d15f4"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::locate" ref="574dce56407af0169a12066c3d2d15f4" args="(Time optionTime, Time swapLength) const " -->
std::pair< <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#574dce56407af0169a12066c3d2d15f4">locate</a> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> optionTime, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> swapLength) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the lower indexes of surrounding volatility matrix corners <br></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="02b90bbfee3ee29627939544fb59ec93"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::performCalculations" ref="02b90bbfee3ee29627939544fb59ec93" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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<td class="memname">void performCalculations </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This method must implement any calculations which must be (re)done in order to calculate the desired results.
<p>Implements <a class="el" href="class_quant_lib_1_1_lazy_object.html#572dbe926524786c64db01e31dba7ab8">LazyObject</a>.</p>
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