SwaptionVolatilityMatrix Class Reference#include <ql/Volatilities/swaptionvolmatrix.hpp>
Inheritance diagram for SwaptionVolatilityMatrix:
[legend]List of all members.
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.
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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
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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
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Time | maxStartTime () const |
| the latest start time for which the term structure can return vols
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Period | maxLength () const |
| the largest length for which the term structure can return vols
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Time | maxTimeLength () const |
| the largest length for which the term structure can return vols
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Real | minStrike () const |
| the minimum strike for which the term structure can return vols
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Real | maxStrike () const |
| the maximum strike for which the term structure can return vols
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