SwaptionVolatilityMatrix Class Reference

At-the-money swaption-volatility matrix. More...

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

Public Member Functions
	SwaptionVolatilityMatrix (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, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const std::vector< std::vector< Real > > &shifts=std::vector< std::vector< Real > >())
	floating reference date, floating market data
	SwaptionVolatilityMatrix (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, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const std::vector< std::vector< Real > > &shifts=std::vector< std::vector< Real > >())
	fixed reference date, floating market data
	SwaptionVolatilityMatrix (const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const Matrix &shifts=Matrix())
	floating reference date, fixed market data
	SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const Matrix &shifts=Matrix())
	fixed reference date, fixed market data
	SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter, bool flatExtrapolation=false, VolatilityType type=ShiftedLognormal, const Matrix &shifts=Matrix())
	fixed reference date and fixed market data, option dates
	SwaptionVolatilityMatrix (SwaptionVolatilityMatrix &&)=delete
	SwaptionVolatilityMatrix (const SwaptionVolatilityMatrix &)=delete
SwaptionVolatilityMatrix &	operator= (SwaptionVolatilityMatrix &&)=delete
SwaptionVolatilityMatrix &	operator= (const SwaptionVolatilityMatrix &)=delete
LazyObject interface
void	performCalculations () const override
TermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values
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
std::pair< Size, Size >	locate (const Date &optionDate, const Period &swapTenor) const
	returns the lower indexes of surrounding volatility matrix corners
std::pair< Size, Size >	locate (Time optionTime, Time swapLength) const
	returns the lower indexes of surrounding volatility matrix corners
VolatilityType	volatilityType () const override
	volatility type
ext::shared_ptr< SmileSection >	smileSectionImpl (Time, Time) const override
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override
Real	shiftImpl (Time optionTime, Time swapLength) const override

Detailed Description

At-the-money swaption-volatility matrix.

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.

The volatility matrix M must be defined so that:

• the number of rows equals the number of option dates;
• the number of columns equals the number of swap tenors;
• M[i][j] contains the volatility corresponding to the i-th option and j-th tenor.

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.

maxDate()

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements 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.

volatilityType()

VolatilityType volatilityType ( ) const

overridevirtual

volatility type

Reimplemented from SwaptionVolatilityStructure.

smileSectionImpl()

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

overrideprotectedvirtual

Implements SwaptionVolatilityStructure.

volatilityImpl()

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

overrideprotectedvirtual

Implements SwaptionVolatilityStructure.

shiftImpl()

Real shiftImpl ( Time optionTime, Time swapLength ) const

overrideprotectedvirtual

Reimplemented from SwaptionVolatilityStructure.