SwaptionVolatilityCubeBySabr Class Reference
#include <ql/Volatilities/swaptionvolcubebysabr.hpp>
Inheritance diagram for SwaptionVolatilityCubeBySabr:

Detailed Description
- Warning:
- this class is not finalized and its interface might change in subsequent releases.
Public Member Functions | |
SwaptionVolatilityCubeBySabr (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &expiries, const std::vector< Period > &lengths, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const Calendar &calendar, Integer swapSettlementDays, Frequency fixedLegFrequency, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< Xibor > &iborIndex, Time shortTenor, const boost::shared_ptr< Xibor > &iborIndexShortTenor, const Matrix ¶metersGuess, std::vector< bool > isParameterFixed, bool isAtmCalibrated) | |
const Matrix & | marketVolCube (Size i) const |
void | recalibration (Real beta) |
Matrix | sparseSabrParameters () const |
Matrix | denseSabrParameters () const |
Matrix | marketVolCube () const |
Matrix | volCubeAtmCalibrated () const |
boost::shared_ptr< SmileSection > | smileSection (const Date &exerciseDate, const Period &length) const |
boost::shared_ptr< SmileSection > | smileSection (Time start, Time length) const |
return smile section | |
Protected Member Functions | |
boost::shared_ptr< SmileSection > | smileSection (Time start, Time length, const Cube &sabrParametersCube) const |
Volatility | volatilityImpl (Time start, Time length, Rate strike) const |
implements the actual volatility calculation in derived classes | |
Volatility | volatilityImpl (const Date &exerciseDate, const Period &length, Rate strike) const |
Cube | sabrCalibration (const Cube &marketVolCube) const |
void | fillVolatilityCube () |
void | createSparseSmiles () |
std::vector< Real > | spreadVolInterpolation (const Date &atmExerciseDate, const Period &atmSwapTenor) |