SwaptionVolatilityCube Class Reference

swaption-volatility cube More...

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

Inherits SwaptionVolatilityDiscrete.

Inherited by SwaptionVolCube1, and SwaptionVolCube2.

List of all members.

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)
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 DatereferenceDate () 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 PeriodmaxSwapTenor () 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

Protected Member Functions

void registerWithVolatilitySpread ()
Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const
Volatility volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const

Protected Attributes

Handle
< SwaptionVolatilityStructure
atmVol_
Size nStrikes_
std::vector< SpreadstrikeSpreads_
std::vector< RatelocalStrikes_
std::vector< VolatilitylocalSmile_
std::vector< std::vector
< Handle< Quote > > > 
volSpreads_
boost::shared_ptr< SwapIndexswapIndexBase_
boost::shared_ptr< SwapIndexshortSwapIndexBase_
bool vegaWeightedSmileFit_

Detailed Description

swaption-volatility cube

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