SwaptionVolatilityMatrix Class Reference
#include <ql/Volatilities/swaptionvolmatrix.hpp>
Inheritance diagram for SwaptionVolatilityMatrix:

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 exercise date and length.
The volatility matrix M
must be defined so that:
- the number of rows equals the number of exercise dates;
- the number of columns equals the number of swap tenors;
M[i][j]
contains the volatility corresponding to thei
-th exercise andj
-th tenor.
Public Member Functions | |
SwaptionVolatilityMatrix (const std::vector< Period > &expiries, const Calendar &calendar, const BusinessDayConvention bdc, const std::vector< Period > &tenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter) | |
SwaptionVolatilityMatrix (const Date &referenceDate, const std::vector< Date > &exerciseDates, const std::vector< Period > &lengths, const Matrix &volatilities, const DayCounter &dayCounter) | |
SwaptionVolatilityMatrix (const std::vector< Date > &exerciseDates, const std::vector< Period > &tenors, const Matrix &volatilities, const DayCounter &dayCounter) | |
SwaptionVolatilityMatrix (const std::vector< Period > &expiries, const Calendar &calendar, const BusinessDayConvention bdc, const std::vector< Period > &tenors, const Matrix &volatilities, const DayCounter &dayCounter) | |
const std::vector< Date > & | exerciseDates () const |
const std::vector< Time > & | exerciseTimes () const |
const std::vector< Period > & | lengths () const |
const std::vector< Time > & | timeLengths () const |
TermStructure interface | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
SwaptionVolatilityStructure interface | |
Date | maxStartDate () const |
the latest start date for which the term structure can return vols | |
Time | maxStartTime () const |
the latest start time for which the term structure can return vols | |
Period | maxLength () const |
the largest length for which the term structure can return vols | |
Time | maxTimeLength () const |
the largest length for which the term structure can return vols | |
Rate | minStrike () const |
the minimum strike for which the term structure can return vols | |
Rate | maxStrike () const |
the maximum strike for which the term structure can return vols | |
boost::shared_ptr< SmileSection > | smileSection (const Date &exerciseDate, const Period &length) const |
return trivial smile section | |
virtual boost::shared_ptr< SmileSection > | smileSection (Time start, Time length) const |
return trivial smile section | |
std::pair< Time, Time > | convertDates (const Date &exerciseDate, const Period &length) const |
implements the conversion between dates and times | |
Other inspectors | |
std::pair< Size, Size > | locate (const Date &exerciseDate, const Period &length) const |
returns the lower indexes of surrounding volatility matrix corners | |
std::pair< Size, Size > | locate (Time exerciseTime, Time length) const |
returns the lower indexes of surrounding volatility matrix corners |