SwaptionVolatilityCube Class Reference

#include <ql/Volatilities/swaptionvolcube.hpp>

Inheritance diagram for SwaptionVolatilityCube:

Inheritance graph
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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

 SwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &expiries, const std::vector< Period > &lengths, const std::vector< Spread > &strikeSpreads, const Calendar &calendar, Integer swapSettlementDays, Frequency fixedLegFrequency, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< Xibor > &iborIndex, Time shortTenor=2, const boost::shared_ptr< Xibor > &iborIndexShortTenor=boost::shared_ptr< Xibor >())
Rate atmStrike (const Period &optionTenor, const Period &swapTenor) const
Rate atmStrike (const Date &optionDate, const Period &swapTenor) const
TermStructure interface
const DatereferenceDate () const
 the date at which discount = 1.0 and/or variance = 0.0
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

Protected Member Functions

SwaptionVolatilityStructure interface
std::pair< Time, Time > convertDates (const Date &exerciseDate, const Period &length) const
 implements the conversion between dates and times

Protected Attributes

Handle< SwaptionVolatilityStructureatmVolStructure_
std::vector< DateexerciseDates_
std::vector< Time > exerciseTimes_
std::vector< RealexerciseDatesAsReal_
LinearInterpolation exerciseInterpolator_
std::vector< Periodlengths_
std::vector< Time > timeLengths_
Size nExercise_
Size nlengths_
Size nStrikes_
std::vector< Spread > strikeSpreads_
std::vector< Rate > localStrikes_
std::vector< Volatility > localSmile_
Integer swapSettlementDays_
Frequency fixedLegFrequency_
BusinessDayConvention fixedLegConvention_
DayCounter fixedLegDayCounter_
boost::shared_ptr< XiboriborIndex_
Time shortTenor_
boost::shared_ptr< XiboriborIndexShortTenor_