SwaptionVolatilityStructure Class Reference

Swaption-volatility structure More...

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

Inheritance diagram for SwaptionVolatilityStructure:

List of all members.

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())
 SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 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< SmileSectionsmileSection (const Period &optionTenor, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option tenor and swap tenor
boost::shared_ptr< SmileSectionsmileSection (const Date &optionDate, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option date and swap tenor
boost::shared_ptr< SmileSectionsmileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option time and swap tenor
boost::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
 returns the smile for a given option tenor and swap length
boost::shared_ptr< SmileSectionsmileSection (const Date &optionDate, Time swapLength, bool extr=false) const
 returns the smile for a given option date and swap length
boost::shared_ptr< SmileSectionsmileSection (Time optionTime, Time swapLength, bool extr=false) const
 returns the smile for a given option time and swap length
Limits
virtual const PeriodmaxSwapTenor () 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() 
)
Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Warning:
term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.