SwaptionVolatilityCube Class Reference
#include <ql/termstructures/volatilities/swaptionvolcube.hpp>
Inheritance diagram for SwaptionVolatilityCube:

Detailed Description
swaption-volatility cube
- 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 > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, bool vegaWeightedSmileFit) | |
TermStructure interface | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Date | maxDate () const |
the latest date for which the curve can return values | |
Time | maxTime () const |
the latest time for which the curve can return values | |
const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
Calendar | calendar () const |
the calendar used for reference date calculation | |
LazyObject interface | |
void | update () |
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 | |
Other inspectors | |
Rate | atmStrike (const Date &optionDate, const Period &swapTenor) const |
Rate | atmStrike (const Period &optionTenor, const Period &swapTenor) const |
Protected Member Functions | |
SwaptionVolatilityStructure interface | |
std::pair< Time, Time > | convertDates (const Date &optionDate, const Period &swapTenor) const |
implements the conversion between dates and times | |
void | registerWithVolatilitySpread () |
Volatility | volatilityImpl (Time optionTime, Time swapLength, Rate strike) const |
implements the actual volatility calculation in derived classes | |
Volatility | volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const |
Volatility | volatilityImpl (const Period &optionTenor, const Period &swapTenor, Rate strike) const |
Protected Attributes | |
Handle< SwaptionVolatilityStructure > | atmVol_ |
Size | nStrikes_ |
std::vector< Spread > | strikeSpreads_ |
std::vector< Rate > | localStrikes_ |
std::vector< Volatility > | localSmile_ |
std::vector< std::vector< Handle< Quote > > > | volSpreads_ |
boost::shared_ptr< SwapIndex > | swapIndexBase_ |
bool | vegaWeightedSmileFit_ |
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.