SwaptionVolatilityMatrix Class Reference

#include <ql/Volatilities/swaptionvolmatrix.hpp>

Inheritance diagram for SwaptionVolatilityMatrix:

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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.

Todo:
either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the exercise date and length vector but an interpolation pointing to the original ones.


Public Member Functions

 SwaptionVolatilityMatrix (const Date &referenceDate, const std::vector< Date > &exerciseDates, const std::vector< Period > &lengths, const Matrix &volatilities, const DayCounter &dayCounter)
DayCounter dayCounter () const
 the day counter used for date/time conversion
const std::vector< Date > & exerciseDates () const
const std::vector< Period > & lengths () const
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
Real minStrike () const
 the minimum strike for which the term structure can return vols
Real maxStrike () const
 the maximum strike for which the term structure can return vols


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