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<!-- doxytag: class="QuantLib::SwaptionVolatilityMatrix" --><!-- doxytag: inherits="QuantLib::SwaptionVolatilityDiscrete,boost::noncopyable" -->
<p>At-the-money swaption-volatility matrix.
<a href="class_quant_lib_1_1_swaption_volatility_matrix.html#details">More...</a></p>
<p><code>#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp></code></p>
<p>Inherits SwaptionVolatilityDiscrete, and noncopyable.</p>
<p><a href="class_quant_lib_1_1_swaption_volatility_matrix-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aef2318fc70287b3bc4b57d3918afae1c"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix" ref="aef2318fc70287b3bc4b57d3918afae1c" args="(const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter)" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#aef2318fc70287b3bc4b57d3918afae1c">SwaptionVolatilityMatrix</a> (const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a>, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">floating reference date, floating market data <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5aeb24bd3381ca0df26105937b9ae7c7"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix" ref="a5aeb24bd3381ca0df26105937b9ae7c7" args="(const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter)" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a5aeb24bd3381ca0df26105937b9ae7c7">SwaptionVolatilityMatrix</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a>, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">fixed reference date, floating market data <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9c3dea1c5001eff31ae224170d6654a7"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix" ref="a9c3dea1c5001eff31ae224170d6654a7" args="(const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter)" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a9c3dea1c5001eff31ae224170d6654a7">SwaptionVolatilityMatrix</a> (const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a>, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">floating reference date, fixed market data <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab806aa4af43b31c28eb4a34ed0b2c1f4"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix" ref="ab806aa4af43b31c28eb4a34ed0b2c1f4" args="(const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter)" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#ab806aa4af43b31c28eb4a34ed0b2c1f4">SwaptionVolatilityMatrix</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</a>, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ae9a0f3904cff2fe61596c593dd0b6448">calendar</a>, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bdc, 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> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">fixed reference date, fixed market data <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7b764a599d00104735fcec7d963b81ae"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix" ref="a7b764a599d00104735fcec7d963b81ae" 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> &<a class="el" href="class_quant_lib_1_1_term_structure.html#aa9ae6cc6009ac64d4f265065eab08be0">referenceDate</a>, 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> &<a class="el" href="class_quant_lib_1_1_term_structure.html#ac147d63df367bbe5282b76b1f98cb9be">dayCounter</a>)</td></tr>
<tr><td colspan="2"><div class="groupHeader">LazyObject interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a02b90bbfee3ee29627939544fb59ec93">performCalculations</a> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">TermStructure interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a74d8fc5480ca811db8332b7b30597fe9"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::maxDate" ref="a74d8fc5480ca811db8332b7b30597fe9" 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#a74d8fc5480ca811db8332b7b30597fe9">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">VolatilityTermStructure interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a92f7194103698b0abf537479db1bab49"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::minStrike" ref="a92f7194103698b0abf537479db1bab49" args="() const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a92f7194103698b0abf537479db1bab49">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" align="right" valign="top"><a class="anchor" id="af96d43a92083621b2e8e980ec2b666b9"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::maxStrike" ref="af96d43a92083621b2e8e980ec2b666b9" args="() const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#af96d43a92083621b2e8e980ec2b666b9">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">SwaptionVolatilityStructure interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aab612f40ee132a09e19f67c16e502cdb"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::maxSwapTenor" ref="aab612f40ee132a09e19f67c16e502cdb" 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#aab612f40ee132a09e19f67c16e502cdb">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 colspan="2"><div class="groupHeader">Other inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a646f9ae951bbc7246327ea88344adf43"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::locate" ref="a646f9ae951bbc7246327ea88344adf43" args="(const Date &optionDate, const Period &swapTenor) const " -->
std::pair< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a646f9ae951bbc7246327ea88344adf43">locate</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">returns the lower indexes of surrounding volatility matrix corners <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a574dce56407af0169a12066c3d2d15f4"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::locate" ref="a574dce56407af0169a12066c3d2d15f4" args="(Time optionTime, Time swapLength) const " -->
std::pair< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a574dce56407af0169a12066c3d2d15f4">locate</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> optionTime, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#a5694433bc688de616d1bc9481729c44a">swapLength</a>) 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 colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aece73c63d97ff8c0147a862201010c9a"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::smileSectionImpl" ref="aece73c63d97ff8c0147a862201010c9a" args="(Time, Time) const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_smile_section.html">SmileSection</a> > </td><td class="memItemRight" valign="bottom"><b>smileSectionImpl</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8a847d5d307f3f57ade6263012526c31"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::volatilityImpl" ref="a8a847d5d307f3f57ade6263012526c31" args="(Time optionTime, Time swapLength, Rate strike) const " -->
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><b>volatilityImpl</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> optionTime, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#a5694433bc688de616d1bc9481729c44a">swapLength</a>, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike) const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>At-the-money swaption-volatility matrix. </p>
<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>
<p>The volatility matrix <code>M</code> must be defined so that:</p>
<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>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a02b90bbfee3ee29627939544fb59ec93"></a><!-- doxytag: member="QuantLib::SwaptionVolatilityMatrix::performCalculations" ref="a02b90bbfee3ee29627939544fb59ec93" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a02b90bbfee3ee29627939544fb59ec93">performCalculations</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> 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>
<p>Implements <a class="el" href="class_quant_lib_1_1_lazy_object.html#a572dbe926524786c64db01e31dba7ab8">LazyObject</a>.</p>
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