SwaptionVolatilityCubeBySabr Class Reference

#include <ql/Volatilities/swaptionvolcubebysabr.hpp>

Inheritance diagram for SwaptionVolatilityCubeBySabr:

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List of all members.

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 &parametersGuess, std::vector< bool > isParameterFixed, bool isAtmCalibrated)
const MatrixmarketVolCube (Size i) const
void recalibration (Real beta)
Matrix sparseSabrParameters () const
Matrix denseSabrParameters () const
Matrix marketVolCube () const
Matrix volCubeAtmCalibrated () const
boost::shared_ptr< SmileSectionsmileSection (const Date &exerciseDate, const Period &length) const
boost::shared_ptr< SmileSectionsmileSection (Time start, Time length) const
 return smile section

Protected Member Functions

boost::shared_ptr< SmileSectionsmileSection (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< RealspreadVolInterpolation (const Date &atmExerciseDate, const Period &atmSwapTenor)