SwaptionVolatilityCube

NAME

SwaptionVolatilityCube − swaption-volatility cube

SYNOPSIS

#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>

Inherits SwaptionVolatilityDiscrete.

Inherited by SwaptionVolCube1x< Model >, and SwaptionVolCube2.

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, const boost::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit)
VolatilityType volatilityType () const
volatility type

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 and/or option date calculation
Natural settlementDays () const
the settlementDays used for reference date calculation

VolatilityTermStructure interface

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

SwaptionVolatilityStructure interface

const Period & maxSwapTenor () const
the largest length 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
Handle< SwaptionVolatilityStructure > atmVol () const
const std::vector< Spread > & strikeSpreads () const
const std::vector< std::vector< Handle< Quote > > > & volSpreads () const
const boost::shared_ptr< SwapIndex > swapIndexBase () const
const boost::shared_ptr< SwapIndex > shortSwapIndexBase () const
bool vegaWeightedSmileFit () const

LazyObject interface

void performCalculations () const

Protected Member Functions

void registerWithVolatilitySpread ()
virtual Size requiredNumberOfStrikes () const
Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const
Volatility volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const
Real shiftImpl (Time optionTime, Time swapLength) 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_
boost::shared_ptr< SwapIndex > shortSwapIndexBase_
bool vegaWeightedSmileFit_

Detailed Description

swaption-volatility cube

Warning

this class is not finalized and its interface might change in subsequent releases.

Member Function Documentation

void performCalculations () const [virtual]
This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Author

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