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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_matrix.html">SwaptionVolatilityMatrix</a></li> </ul>
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<div class="title">SwaptionVolatilityMatrix Class Reference</div> </div>
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<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>
<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:a6ed1c78768735b856df2dd17643c6842"><td class="memItemLeft" align="right" valign="top"><a id="a6ed1c78768735b856df2dd17643c6842"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a6ed1c78768735b856df2dd17643c6842">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#a38e235178eb0a7749c37a16d71f4762f">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#ad49654ea33055b03f8666910acc13880">dayCounter</a>, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > &shifts=std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > >())</td></tr>
<tr class="memdesc:a6ed1c78768735b856df2dd17643c6842"><td class="mdescLeft"> </td><td class="mdescRight">floating reference date, floating market data <br /></td></tr>
<tr class="separator:a6ed1c78768735b856df2dd17643c6842"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a147aa675ce7cdfd81a2e1a05a1ad5a9f"><td class="memItemLeft" align="right" valign="top"><a id="a147aa675ce7cdfd81a2e1a05a1ad5a9f"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a147aa675ce7cdfd81a2e1a05a1ad5a9f">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#acd49fd0f9bfecc09e0d3461f16ec5d79">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#a38e235178eb0a7749c37a16d71f4762f">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#ad49654ea33055b03f8666910acc13880">dayCounter</a>, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > > &shifts=std::vector< std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > >())</td></tr>
<tr class="memdesc:a147aa675ce7cdfd81a2e1a05a1ad5a9f"><td class="mdescLeft"> </td><td class="mdescRight">fixed reference date, floating market data <br /></td></tr>
<tr class="separator:a147aa675ce7cdfd81a2e1a05a1ad5a9f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab325a2da2815a3fc21e76690146d0214"><td class="memItemLeft" align="right" valign="top"><a id="ab325a2da2815a3fc21e76690146d0214"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#ab325a2da2815a3fc21e76690146d0214">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#a38e235178eb0a7749c37a16d71f4762f">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#ad49654ea33055b03f8666910acc13880">dayCounter</a>, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &shifts=<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a>())</td></tr>
<tr class="memdesc:ab325a2da2815a3fc21e76690146d0214"><td class="mdescLeft"> </td><td class="mdescRight">floating reference date, fixed market data <br /></td></tr>
<tr class="separator:ab325a2da2815a3fc21e76690146d0214"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a05570ce205ab0e75234ebdf601621c95"><td class="memItemLeft" align="right" valign="top"><a id="a05570ce205ab0e75234ebdf601621c95"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a05570ce205ab0e75234ebdf601621c95">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#acd49fd0f9bfecc09e0d3461f16ec5d79">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#a38e235178eb0a7749c37a16d71f4762f">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#ad49654ea33055b03f8666910acc13880">dayCounter</a>, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &shifts=<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a>())</td></tr>
<tr class="memdesc:a05570ce205ab0e75234ebdf601621c95"><td class="mdescLeft"> </td><td class="mdescRight">fixed reference date, fixed market data <br /></td></tr>
<tr class="separator:a05570ce205ab0e75234ebdf601621c95"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a05bc43281afec2f38fe650732414e0d6"><td class="memItemLeft" align="right" valign="top"><a id="a05bc43281afec2f38fe650732414e0d6"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.html#a05bc43281afec2f38fe650732414e0d6">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#acd49fd0f9bfecc09e0d3461f16ec5d79">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#a38e235178eb0a7749c37a16d71f4762f">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_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#ad49654ea33055b03f8666910acc13880">dayCounter</a>, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const <a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a> &shifts=<a class="el" href="class_quant_lib_1_1_matrix.html">Matrix</a>())</td></tr>
<tr class="memdesc:a05bc43281afec2f38fe650732414e0d6"><td class="mdescLeft"> </td><td class="mdescRight">fixed reference date and fixed market data, option dates <br /></td></tr>
<tr class="separator:a05bc43281afec2f38fe650732414e0d6"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">LazyObject interface</div></td></tr>
<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_matrix.html#a33f04fb3ac37abe7c9c6032cff611745">performCalculations</a> () const</td></tr>
<tr class="separator:a33f04fb3ac37abe7c9c6032cff611745"><td class="memSeparator" colspan="2"> </td></tr>
<tr><td colspan="2"><div class="groupHeader">TermStructure interface</div></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_matrix.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><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_matrix.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_matrix.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:a3cc018e8747c0307eaa369a13841b7d6"><td class="memItemLeft" align="right" valign="top"><a id="a3cc018e8747c0307eaa369a13841b7d6"></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_matrix.html#a3cc018e8747c0307eaa369a13841b7d6">maxSwapTenor</a> () const</td></tr>
<tr class="memdesc:a3cc018e8747c0307eaa369a13841b7d6"><td class="mdescLeft"> </td><td class="mdescRight">the largest length for which the term structure can return vols <br /></td></tr>
<tr class="separator:a3cc018e8747c0307eaa369a13841b7d6"><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>
Other inspectors</h2></td></tr>
<tr class="memitem:aa4736270623100e1af158e4cd693d8bc"><td class="memItemLeft" align="right" valign="top"><a id="aa4736270623100e1af158e4cd693d8bc"></a>
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#aa4736270623100e1af158e4cd693d8bc">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 class="memdesc:aa4736270623100e1af158e4cd693d8bc"><td class="mdescLeft"> </td><td class="mdescRight">returns the lower indexes of surrounding volatility matrix corners <br /></td></tr>
<tr class="separator:aa4736270623100e1af158e4cd693d8bc"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aef02275b0d6dd6a542de90baae7a10ed"><td class="memItemLeft" align="right" valign="top"><a id="aef02275b0d6dd6a542de90baae7a10ed"></a>
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#aef02275b0d6dd6a542de90baae7a10ed">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#a79f138ac8de07dd9c5e7cd8f95e2c8f5">swapLength</a>) const</td></tr>
<tr class="memdesc:aef02275b0d6dd6a542de90baae7a10ed"><td class="mdescLeft"> </td><td class="mdescRight">returns the lower indexes of surrounding volatility matrix corners <br /></td></tr>
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VolatilityType </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_volatility_matrix.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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ext::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>
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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#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>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>
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</div><h2 class="groupheader">Member Function Documentation</h2>
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<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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<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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