SwaptionVolatilityStructure Class Reference
Swaption-volatility structure More...
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
Inheritance diagram for SwaptionVolatilityStructure:

Public Member Functions | |
Time | swapLength (const Period &swapTenor) const |
implements the conversion between swap tenor and swap (time) length | |
Time | swapLength (const Date &start, const Date &end) const |
implements the conversion between swap dates and swap (time) length | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
SwaptionVolatilityStructure (const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
default constructor | |
SwaptionVolatilityStructure (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
Volatility, variance and smile | |
Volatility | volatility (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option tenor and swap tenor | |
Volatility | volatility (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option date and swap tenor | |
Volatility | volatility (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option time and swap tenor | |
Volatility | volatility (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option tenor and swap length | |
Volatility | volatility (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option date and swap length | |
Volatility | volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const |
returns the volatility for a given option time and swap length | |
Real | blackVariance (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option tenor and swap tenor | |
Real | blackVariance (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option date and swap tenor | |
Real | blackVariance (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option time and swap tenor | |
Real | blackVariance (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option tenor and swap length | |
Real | blackVariance (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option date and swap length | |
Real | blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given option time and swap length | |
boost::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, const Period &swapTenor, bool extr=false) const |
returns the smile for a given option tenor and swap tenor | |
boost::shared_ptr< SmileSection > | smileSection (const Date &optionDate, const Period &swapTenor, bool extr=false) const |
returns the smile for a given option date and swap tenor | |
boost::shared_ptr< SmileSection > | smileSection (Time optionTime, const Period &swapTenor, bool extr=false) const |
returns the smile for a given option time and swap tenor | |
boost::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, Time swapLength, bool extr=false) const |
returns the smile for a given option tenor and swap length | |
boost::shared_ptr< SmileSection > | smileSection (const Date &optionDate, Time swapLength, bool extr=false) const |
returns the smile for a given option date and swap length | |
boost::shared_ptr< SmileSection > | smileSection (Time optionTime, Time swapLength, bool extr=false) const |
returns the smile for a given option time and swap length | |
Limits | |
virtual const Period & | maxSwapTenor () const =0 |
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 | |
Protected Member Functions | |
virtual boost::shared_ptr < SmileSection > | smileSectionImpl (const Date &optionDate, const Period &swapTenor) const |
virtual boost::shared_ptr < SmileSection > | smileSectionImpl (Time optionTime, Time swapLength) const =0 |
virtual Volatility | volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const |
virtual Volatility | volatilityImpl (Time optionTime, Time swapLength, Rate strike) const =0 |
void | checkSwapTenor (const Period &swapTenor, bool extrapolate) const |
void | checkSwapTenor (Time swapLength, bool extrapolate) const |
Detailed Description
Swaption-volatility structure
This abstract class defines the interface of concrete swaption volatility structures which will be derived from this one.
Constructor & Destructor Documentation
SwaptionVolatilityStructure | ( | const Calendar & | calendar, |
BusinessDayConvention | bdc, | ||
const DayCounter & | dc = DayCounter() |
||
) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.