XabrSwaptionVolatilityCube< Model > Class Template Reference

XABR Swaption Volatility Cube. More...

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

Inheritance diagram for XabrSwaptionVolatilityCube< Model >:

Public Member Functions
	XabrSwaptionVolatilityCube (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, std::vector< std::vector< Handle< Quote > > > parametersGuess, std::vector< bool > isParameterFixed, bool isAtmCalibrated, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), Real maxErrorTolerance=Null< Real >(), ext::shared_ptr< OptimizationMethod > optMethod=ext::shared_ptr< OptimizationMethod >(), Real errorAccept=Null< Real >(), bool useMaxError=false, Size maxGuesses=50, bool backwardFlat=false, Real cutoffStrike=0.0001)
LazyObject interface
void	performCalculations () const override
SwaptionVolatilityCube interface
ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) 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
VolatilityType	volatilityType () const override
	volatility type

Other inspectors
const Matrix &	marketVolCube (Size i) const
Matrix	sparseSabrParameters () const
Matrix	denseSabrParameters () const
Matrix	marketVolCube () const
Matrix	volCubeAtmCalibrated () const
void	sabrCalibrationSection (const Cube &marketVolCube, Cube &parametersCube, const Period &swapTenor) const
void	recalibration (Real beta, const Period &swapTenor)
void	recalibration (const std::vector< Real > &beta, const Period &swapTenor)
void	recalibration (const std::vector< Period > &swapLengths, const std::vector< Real > &beta, const Period &swapTenor)
void	updateAfterRecalibration ()
void	registerWithParametersGuess ()
void	setParameterGuess () const
ext::shared_ptr< SmileSection >	smileSection (Time optionTime, Time swapLength, const Cube &sabrParametersCube) const
Cube	sabrCalibration (const Cube &marketVolCube) const
void	fillVolatilityCube () const
void	createSparseSmiles () const
std::vector< Real >	spreadVolInterpolation (const Date &atmOptionDate, const Period &atmSwapTenor) const

Additional Inherited Members
void	registerWithVolatilitySpread ()
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

template<class Model>
class QuantLib::XabrSwaptionVolatilityCube< Model >

XABR Swaption Volatility Cube.

This class implements the XABR Swaption Volatility Cube which is a generic for different SABR, ZABR and different smile models that can be used to instantiate concrete cubes.

Member Function Documentation

performCalculations()

template<class Model>

void performCalculations ( ) const

overridevirtual

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

Reimplemented from SwaptionVolatilityCube.

smileSectionImpl()

template<class Model>

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

overridevirtual

Implements SwaptionVolatilityStructure.