InterpolatedSwaptionVolatilityCube Class Reference

Interpolated Swaption Volatility Cube. More...

#include <ql/termstructures/volatility/swaption/interpolatedswaptionvolatilitycube.hpp>

Inheritance diagram for InterpolatedSwaptionVolatilityCube:

Public Member Functions
	InterpolatedSwaptionVolatilityCube (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 ext::shared_ptr< SwapIndex > &swapIndexBase, const ext::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit)
LazyObject interface
void	performCalculations () const override
Public Member Functions inherited from SwaptionVolatilityCube
	SwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, std::vector< std::vector< Handle< Quote > > > volSpreads, ext::shared_ptr< SwapIndex > swapIndexBase, ext::shared_ptr< SwapIndex > shortSwapIndexBase, bool vegaWeightedSmileFit)
DayCounter	dayCounter () const override
	the day counter used for date/time conversion
Date	maxDate () const override
	the latest date for which the curve can return values
Time	maxTime () const override
	the latest time for which the curve can return values
const Date &	referenceDate () const override
	the date at which discount = 1.0 and/or variance = 0.0
Calendar	calendar () const override
	the calendar used for reference and/or option date calculation
Natural	settlementDays () const override
	the settlementDays used for reference date calculation
Rate	minStrike () const override
	the minimum strike for which the term structure can return vols
Rate	maxStrike () const override
	the maximum strike for which the term structure can return vols
const Period &	maxSwapTenor () const override
	the largest length for which the term structure can return vols
Rate	atmStrike (const Date &optionDate, const Period &swapTenor) const
Rate	atmStrike (const Period &optionTenor, const Period &swapTenor) const
Handle< SwaptionVolatilityStructure >	atmVol () const
const std::vector< Spread > &	strikeSpreads () const
const std::vector< std::vector< Handle< Quote > > > &	volSpreads () const
ext::shared_ptr< SwapIndex >	swapIndexBase () const
ext::shared_ptr< SwapIndex >	shortSwapIndexBase () const
bool	vegaWeightedSmileFit () const
void	performCalculations () const override
VolatilityType	volatilityType () const override
	volatility type

SwaptionVolatilityCube inspectors
const Matrix &	volSpreads (Size i) const
ext::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate, const Period &swapTenor) const override
ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override

Additional Inherited Members
void	registerWithVolatilitySpread ()
virtual Size	requiredNumberOfStrikes () const
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override
Volatility	volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const override
Real	shiftImpl (Time optionTime, Time swapLength) const override
Handle< SwaptionVolatilityStructure >	atmVol_
Size	nStrikes_
std::vector< Spread >	strikeSpreads_
std::vector< Rate >	localStrikes_
std::vector< Volatility >	localSmile_
std::vector< std::vector< Handle< Quote > > >	volSpreads_
ext::shared_ptr< SwapIndex >	swapIndexBase_
ext::shared_ptr< SwapIndex >	shortSwapIndexBase_
bool	vegaWeightedSmileFit_

Detailed Description

Interpolated Swaption Volatility Cube.

This class implements the Interpolated Swaption Volatility Cube, which is able to interpolate between the volatility spreads provided.

Constructor & Destructor Documentation

InterpolatedSwaptionVolatilityCube()

InterpolatedSwaptionVolatilityCube	(	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 ext::shared_ptr< SwapIndex > &	swapIndexBase,
		const ext::shared_ptr< SwapIndex > &	shortSwapIndexBase,
		bool	vegaWeightedSmileFit )

The swaption vol cube is made up of ordered swaption vol surface layers, each layer referring to a swap index of a given length (in years), all indexes belonging to the same family. In order to identify the family (and its market conventions) an index of whatever length from that family must be passed in as swapIndexBase.

Often for short swap length the swap index family is different, e.g. the EUR case: swap vs 6M Euribor is used for length>1Y, while swap vs 3M Euribor is used for the 1Y length. The shortSwapIndexBase is used to identify this second family.

Member Function Documentation

performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

smileSectionImpl() [1/2]

ext::shared_ptr< SmileSection > smileSectionImpl ( const Date & optionDate, const Period & swapTenor ) const

overridevirtual

Reimplemented from SwaptionVolatilityStructure.

smileSectionImpl() [2/2]

ext::shared_ptr< SmileSection > smileSectionImpl ( Time optionTime, Time swapLength ) const

overridevirtual

Implements SwaptionVolatilityStructure.