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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html">SwaptionVolatilityCube</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">SwaptionVolatilityCube Class Reference</div> </div>
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<p>swaption-volatility cube
<a href="class_quant_lib_1_1_swaption_volatility_cube.html#details">More...</a></p>
<p><code>#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp></code></p>
<p>Inherits SwaptionVolatilityDiscrete.</p>
<p>Inherited by SwaptionVolCube1x< Model >, and SwaptionVolCube2.</p>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a43ca817aab6ad0736c15fe375bcb301c"><td class="memItemLeft" align="right" valign="top"><a id="a43ca817aab6ad0736c15fe375bcb301c"></a>
 </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#gae7427f4743503002b0c6eeeefae91a3d">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 ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > &swapIndexBase, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > &shortSwapIndexBase, bool vegaWeightedSmileFit)</td></tr>
<tr class="separator:a43ca817aab6ad0736c15fe375bcb301c"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">TermStructure interface</div></td></tr>
<tr class="memitem:ad49654ea33055b03f8666910acc13880"><td class="memItemLeft" align="right" valign="top"><a id="ad49654ea33055b03f8666910acc13880"></a>
<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#ad49654ea33055b03f8666910acc13880">dayCounter</a> () const</td></tr>
<tr class="memdesc:ad49654ea33055b03f8666910acc13880"><td class="mdescLeft"> </td><td class="mdescRight">the day counter used for date/time conversion <br /></td></tr>
<tr class="separator:ad49654ea33055b03f8666910acc13880"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6fa1d746e67f372c6e09e4ec9ad8973b"><td class="memItemLeft" align="right" valign="top"><a id="a6fa1d746e67f372c6e09e4ec9ad8973b"></a>
<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#a6fa1d746e67f372c6e09e4ec9ad8973b">maxDate</a> () const</td></tr>
<tr class="memdesc:a6fa1d746e67f372c6e09e4ec9ad8973b"><td class="mdescLeft"> </td><td class="mdescRight">the latest date for which the curve can return values <br /></td></tr>
<tr class="separator:a6fa1d746e67f372c6e09e4ec9ad8973b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4950639c8f60a60050efe2772e1d6a2a"><td class="memItemLeft" align="right" valign="top"><a id="a4950639c8f60a60050efe2772e1d6a2a"></a>
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#a4950639c8f60a60050efe2772e1d6a2a">maxTime</a> () const</td></tr>
<tr class="memdesc:a4950639c8f60a60050efe2772e1d6a2a"><td class="mdescLeft"> </td><td class="mdescRight">the latest time for which the curve can return values <br /></td></tr>
<tr class="separator:a4950639c8f60a60050efe2772e1d6a2a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aff31fd8f746185f9532fedc2145d9abe"><td class="memItemLeft" align="right" valign="top"><a id="aff31fd8f746185f9532fedc2145d9abe"></a>
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#aff31fd8f746185f9532fedc2145d9abe">referenceDate</a> () const</td></tr>
<tr class="memdesc:aff31fd8f746185f9532fedc2145d9abe"><td class="mdescLeft"> </td><td class="mdescRight">the date at which discount = 1.0 and/or variance = 0.0 <br /></td></tr>
<tr class="separator:aff31fd8f746185f9532fedc2145d9abe"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a38e235178eb0a7749c37a16d71f4762f"><td class="memItemLeft" align="right" valign="top"><a id="a38e235178eb0a7749c37a16d71f4762f"></a>
<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#a38e235178eb0a7749c37a16d71f4762f">calendar</a> () const</td></tr>
<tr class="memdesc:a38e235178eb0a7749c37a16d71f4762f"><td class="mdescLeft"> </td><td class="mdescRight">the calendar used for reference and/or option date calculation <br /></td></tr>
<tr class="separator:a38e235178eb0a7749c37a16d71f4762f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a32e050c75a34ceee6f0633bdb799a080"><td class="memItemLeft" align="right" valign="top"><a id="a32e050c75a34ceee6f0633bdb799a080"></a>
<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#a32e050c75a34ceee6f0633bdb799a080">settlementDays</a> () const</td></tr>
<tr class="memdesc:a32e050c75a34ceee6f0633bdb799a080"><td class="mdescLeft"> </td><td class="mdescRight">the settlementDays used for reference date calculation <br /></td></tr>
<tr class="separator:a32e050c75a34ceee6f0633bdb799a080"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">VolatilityTermStructure interface</div></td></tr>
<tr class="memitem:acd909bc54367d9d6352149375c56f263"><td class="memItemLeft" align="right" valign="top"><a id="acd909bc54367d9d6352149375c56f263"></a>
<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_cube.html#acd909bc54367d9d6352149375c56f263">minStrike</a> () const</td></tr>
<tr class="memdesc:acd909bc54367d9d6352149375c56f263"><td class="mdescLeft"> </td><td class="mdescRight">the minimum strike for which the term structure can return vols <br /></td></tr>
<tr class="separator:acd909bc54367d9d6352149375c56f263"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac57bee91b260d6f11aa0e6264cc69bd5"><td class="memItemLeft" align="right" valign="top"><a id="ac57bee91b260d6f11aa0e6264cc69bd5"></a>
<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_cube.html#ac57bee91b260d6f11aa0e6264cc69bd5">maxStrike</a> () const</td></tr>
<tr class="memdesc:ac57bee91b260d6f11aa0e6264cc69bd5"><td class="mdescLeft"> </td><td class="mdescRight">the maximum strike for which the term structure can return vols <br /></td></tr>
<tr class="separator:ac57bee91b260d6f11aa0e6264cc69bd5"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">SwaptionVolatilityStructure interface</div></td></tr>
<tr class="memitem:a3f784c3c0fd715ec70113b31e9fa67ed"><td class="memItemLeft" align="right" valign="top"><a id="a3f784c3c0fd715ec70113b31e9fa67ed"></a>
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#a3f784c3c0fd715ec70113b31e9fa67ed">maxSwapTenor</a> () const</td></tr>
<tr class="memdesc:a3f784c3c0fd715ec70113b31e9fa67ed"><td class="mdescLeft"> </td><td class="mdescRight">the largest length for which the term structure can return vols <br /></td></tr>
<tr class="separator:a3f784c3c0fd715ec70113b31e9fa67ed"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">Other inspectors</div></td></tr>
<tr class="memitem:a0aae6a914cd4a27e2141607516c71a15"><td class="memItemLeft" align="right" valign="top"><a id="a0aae6a914cd4a27e2141607516c71a15"></a>
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">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 class="separator:a0aae6a914cd4a27e2141607516c71a15"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:addc4dadb7da7e9e2779926424bac2ca0"><td class="memItemLeft" align="right" valign="top"><a id="addc4dadb7da7e9e2779926424bac2ca0"></a>
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">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 class="separator:addc4dadb7da7e9e2779926424bac2ca0"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a22d8d235d93d8b34104c31ffa713998b"><td class="memItemLeft" align="right" valign="top"><a id="a22d8d235d93d8b34104c31ffa713998b"></a>
<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>atmVol</b> () const</td></tr>
<tr class="separator:a22d8d235d93d8b34104c31ffa713998b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad28e091696f9e821f3fd6eb30f6bc784"><td class="memItemLeft" align="right" valign="top"><a id="ad28e091696f9e821f3fd6eb30f6bc784"></a>
const std::vector< <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> > & </td><td class="memItemRight" valign="bottom"><b>strikeSpreads</b> () const</td></tr>
<tr class="separator:ad28e091696f9e821f3fd6eb30f6bc784"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a97b26ebc335793a85eb2ef6f25ca656d"><td class="memItemLeft" align="right" valign="top"><a id="a97b26ebc335793a85eb2ef6f25ca656d"></a>
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> > > > & </td><td class="memItemRight" valign="bottom"><b>volSpreads</b> () const</td></tr>
<tr class="separator:a97b26ebc335793a85eb2ef6f25ca656d"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5542f89fe77ef3b082f10713a34cacfd"><td class="memItemLeft" align="right" valign="top"><a id="a5542f89fe77ef3b082f10713a34cacfd"></a>
ext::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> () const</td></tr>
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<tr class="memitem:a493bbb4aa60f93a461f5f011008b687e"><td class="memItemLeft" align="right" valign="top"><a id="a493bbb4aa60f93a461f5f011008b687e"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > </td><td class="memItemRight" valign="bottom"><b>shortSwapIndexBase</b> () const</td></tr>
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<tr class="memitem:ada316af649c451cbae2fb381d73ca935"><td class="memItemLeft" align="right" valign="top"><a id="ada316af649c451cbae2fb381d73ca935"></a>
bool </td><td class="memItemRight" valign="bottom"><b>vegaWeightedSmileFit</b> () const</td></tr>
<tr class="separator:ada316af649c451cbae2fb381d73ca935"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
LazyObject interface</h2></td></tr>
<tr class="memitem:a4924c384111375749e7803634c13006b"><td class="memItemLeft" align="right" valign="top"><a id="a4924c384111375749e7803634c13006b"></a>
<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>atmVol_</b></td></tr>
<tr class="separator:a4924c384111375749e7803634c13006b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a67ae5ca8c9285c2e266d0472b1c1e7ad"><td class="memItemLeft" align="right" valign="top"><a id="a67ae5ca8c9285c2e266d0472b1c1e7ad"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>nStrikes_</b></td></tr>
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<tr class="memitem:a2c6c31fe4bdd0b5ed596e2efe1319516"><td class="memItemLeft" align="right" valign="top"><a id="a2c6c31fe4bdd0b5ed596e2efe1319516"></a>
std::vector< <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> > </td><td class="memItemRight" valign="bottom"><b>strikeSpreads_</b></td></tr>
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<tr class="memitem:aa0eb661c1898495e2505f206b0e949b1"><td class="memItemLeft" align="right" valign="top"><a id="aa0eb661c1898495e2505f206b0e949b1"></a>
std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > </td><td class="memItemRight" valign="bottom"><b>localStrikes_</b></td></tr>
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<tr class="memitem:a6d32df93ed086d2339d82daab7c5b93e"><td class="memItemLeft" align="right" valign="top"><a id="a6d32df93ed086d2339d82daab7c5b93e"></a>
std::vector< <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> > </td><td class="memItemRight" valign="bottom"><b>localSmile_</b></td></tr>
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<tr class="memitem:ab492bc9d36b91b0ea5d53d89d0706eb5"><td class="memItemLeft" align="right" valign="top"><a id="ab492bc9d36b91b0ea5d53d89d0706eb5"></a>
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> > > > </td><td class="memItemRight" valign="bottom"><b>volSpreads_</b></td></tr>
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ext::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>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_swap_index.html">SwapIndex</a> > </td><td class="memItemRight" valign="bottom"><b>shortSwapIndexBase_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>vegaWeightedSmileFit_</b></td></tr>
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<tr class="memitem:a33f04fb3ac37abe7c9c6032cff611745"><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_cube.html#a33f04fb3ac37abe7c9c6032cff611745">performCalculations</a> () const</td></tr>
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VolatilityType </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html#ab95b24d256542f56472b2b4c63cde369">volatilityType</a> () const</td></tr>
<tr class="memdesc:ab95b24d256542f56472b2b4c63cde369"><td class="mdescLeft"> </td><td class="mdescRight">volatility type <br /></td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>registerWithVolatilitySpread</b> ()</td></tr>
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virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>requiredNumberOfStrikes</b> () const</td></tr>
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<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#a79f138ac8de07dd9c5e7cd8f95e2c8f5">swapLength</a>, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> strike) const</td></tr>
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<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">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#gaede435af51236692b1107d7639581d39">Rate</a> strike) const</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>shiftImpl</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#a79f138ac8de07dd9c5e7cd8f95e2c8f5">swapLength</a>) const</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>swaption-volatility cube </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000171">Warning:</a></b></dt><dd>this class is not finalized and its interface might change in subsequent releases. </dd></dl>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="a33f04fb3ac37abe7c9c6032cff611745"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a33f04fb3ac37abe7c9c6032cff611745">◆ </a></span>performCalculations()</h2>
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<td class="memname">void performCalculations </td>
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<td> const</td>
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<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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