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.
- 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 |