SwaptionVolatilityCube Class Reference

swaption-volatility cube More...

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

Inheritance diagram for SwaptionVolatilityCube:

Public Member Functions
	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)
TermStructure interface
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
VolatilityTermStructure interface
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
SwaptionVolatilityStructure interface
const Period &	maxSwapTenor () const override
	the largest length for which the term structure can return vols
Other inspectors
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

LazyObject interface
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_
void	performCalculations () const override
VolatilityType	volatilityType () const override
	volatility type
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

Detailed Description

swaption-volatility cube

Warning

this class is not finalized and its interface might change in subsequent releases.

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

the day counter used for date/time conversion

Reimplemented from TermStructure.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

maxTime()

Time maxTime ( ) const

overridevirtual

the latest time for which the curve can return values

Reimplemented from TermStructure.

referenceDate()

const Date & referenceDate ( ) const

overridevirtual

the date at which discount = 1.0 and/or variance = 0.0

Reimplemented from TermStructure.

calendar()

Calendar calendar ( ) const

overridevirtual

the calendar used for reference and/or option date calculation

Reimplemented from TermStructure.

settlementDays()

Natural settlementDays ( ) const

overridevirtual

the settlementDays used for reference date calculation

Reimplemented from TermStructure.

minStrike()

Rate minStrike ( ) const

overridevirtual

the minimum strike for which the term structure can return vols

Implements VolatilityTermStructure.

maxStrike()

Rate maxStrike ( ) const

overridevirtual

the maximum strike for which the term structure can return vols

Implements VolatilityTermStructure.

maxSwapTenor()

const Period & maxSwapTenor ( ) const

overridevirtual

the largest length for which the term structure can return vols

Implements SwaptionVolatilityStructure.

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.

Reimplemented in XabrSwaptionVolatilityCube< Model >, XabrSwaptionVolatilityCube< SwaptionVolCubeNoArbSabrModel >, and XabrSwaptionVolatilityCube< SwaptionVolCubeSabrModel >.

volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

volatility type

Reimplemented from SwaptionVolatilityStructure.

volatilityImpl() [1/2]

Volatility volatilityImpl ( Time optionTime, Time swapLength, Rate strike ) const

overrideprotectedvirtual

Implements SwaptionVolatilityStructure.

volatilityImpl() [2/2]

Volatility volatilityImpl ( const Date & optionDate, const Period & swapTenor, Rate strike ) const

overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.

shiftImpl()

Real shiftImpl ( Time optionTime, Time swapLength ) const

overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.