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

Detailed Description
- 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 > &expiries, const std::vector< Period > &lengths, const std::vector< Spread > &strikeSpreads, const Calendar &calendar, Integer swapSettlementDays, Frequency fixedLegFrequency, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< Xibor > &iborIndex, Time shortTenor=2, const boost::shared_ptr< Xibor > &iborIndexShortTenor=boost::shared_ptr< Xibor >()) | |
Rate | atmStrike (const Period &optionTenor, const Period &swapTenor) const |
Rate | atmStrike (const Date &optionDate, const Period &swapTenor) const |
TermStructure interface | |
const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
SwaptionVolatilityStructure interface | |
Date | maxStartDate () const |
the latest start date for which the term structure can return vols | |
Time | maxStartTime () const |
the latest start time for which the term structure can return vols | |
Period | maxLength () const |
the largest length for which the term structure can return vols | |
Time | maxTimeLength () const |
the largest length 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 | |
Protected Member Functions | |
SwaptionVolatilityStructure interface | |
std::pair< Time, Time > | convertDates (const Date &exerciseDate, const Period &length) const |
implements the conversion between dates and times | |
Protected Attributes | |
Handle< SwaptionVolatilityStructure > | atmVolStructure_ |
std::vector< Date > | exerciseDates_ |
std::vector< Time > | exerciseTimes_ |
std::vector< Real > | exerciseDatesAsReal_ |
LinearInterpolation | exerciseInterpolator_ |
std::vector< Period > | lengths_ |
std::vector< Time > | timeLengths_ |
Size | nExercise_ |
Size | nlengths_ |
Size | nStrikes_ |
std::vector< Spread > | strikeSpreads_ |
std::vector< Rate > | localStrikes_ |
std::vector< Volatility > | localSmile_ |
Integer | swapSettlementDays_ |
Frequency | fixedLegFrequency_ |
BusinessDayConvention | fixedLegConvention_ |
DayCounter | fixedLegDayCounter_ |
boost::shared_ptr< Xibor > | iborIndex_ |
Time | shortTenor_ |
boost::shared_ptr< Xibor > | iborIndexShortTenor_ |