SwaptionVolatilityMatrix Class Reference
#include <ql/termstructures/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 option date and swapLength.
The volatility matrix M
must be defined so that:
- the number of rows equals the number of option dates;
- the number of columns equals the number of swap tenors;
M[i][j]
contains the volatility corresponding to thei
-th option andj
-th tenor.
Public Member Functions | |
SwaptionVolatilityMatrix (const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following) | |
floating reference date, floating market data | |
SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following) | |
fixed reference date, floating market data | |
SwaptionVolatilityMatrix (const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following) | |
floating reference date, fixed market data | |
SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter=Actual365Fixed(), BusinessDayConvention bdc=Following) | |
fixed reference date, fixed market data | |
SwaptionVolatilityMatrix (const Date &referenceDate, const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter) | |
TermStructure interface | |
Date | maxDate () const |
the latest date for which the curve can return values | |
LazyObject interface | |
void | update () |
void | performCalculations () const |
SwaptionVolatilityStructure interface | |
const Period & | maxSwapTenor () const |
the largest length for which the term structure can return vols | |
Time | maxSwapLength () const |
the largest swapLength 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 | |
boost::shared_ptr< SmileSection > | smileSectionImpl (Time optionTime, Time swapLength) const |
return trivial smile section | |
Other inspectors | |
std::pair< Size, Size > | locate (const Date &optionDates, const Period &swapTenor) const |
returns the lower indexes of surrounding volatility matrix corners | |
std::pair< Size, Size > | locate (Time optionTime, Time swapLength) const |
returns the lower indexes of surrounding volatility matrix corners |
Constructor & Destructor Documentation
SwaptionVolatilityMatrix | ( | const Date & | referenceDate, | |
const std::vector< Date > & | optionDates, | |||
const std::vector< Period > & | swapTenors, | |||
const Matrix & | volatilities, | |||
const DayCounter & | dayCounter | |||
) |
- Deprecated:
- alternative constructors instead
Member Function Documentation
void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from LazyObject.
void performCalculations | ( | ) | const [virtual] |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.