SwaptionVolatilityStructure Class Reference
#include <ql/swaptionvolstructure.hpp>
Inheritance diagram for SwaptionVolatilityStructure:

Detailed Description
Swaption-volatility structureThis class is purely abstract and defines the interface of concrete swaption volatility structures which will be derived from this one.
Public Member Functions | |
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 | |
virtual boost::shared_ptr< SmileSection > | smileSection (const Date &start, const Period &length) const |
virtual std::pair< Time, Time > | convertDates (const Date &exerciseDate, const Period &length) const |
implements the conversion between dates and times | |
Volatility and Variance | |
Volatility | volatility (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
returns the volatility for a given starting date and length | |
Volatility | volatility (const Date &exerciseDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
returns the volatility for a given starting date and length | |
Real | blackVariance (const Date &exerciseDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given starting date and length | |
Volatility | volatility (Time exerciseTime, Time length, Rate strike, bool extrapolate=false) const |
returns the volatility for a given starting time and length | |
Real | blackVariance (Time exerciseTime, Time length, Rate strike, bool extrapolate=false) const |
returns the Black variance for a given starting time and length | |
Limits | |
virtual Date | maxStartDate () const=0 |
the latest start date for which the term structure can return vols | |
virtual Period | maxLength () const=0 |
the largest length for which the term structure can return vols | |
virtual Time | maxStartTime () const |
the latest start time for which the term structure can return vols | |
virtual Time | maxTimeLength () const |
the largest length for which the term structure can return vols | |
virtual Rate | minStrike () const=0 |
the minimum strike for which the term structure can return vols | |
virtual Rate | maxStrike () const=0 |
the maximum strike for which the term structure can return vols | |
Protected Member Functions | |
virtual boost::shared_ptr< SmileSection > | smileSection (Time start, Time length) const=0 |
return smile section | |
virtual Volatility | volatilityImpl (Time exerciseTime, Time length, Rate strike) const =0 |
implements the actual volatility calculation in derived classes | |
virtual Volatility | volatilityImpl (const Date &exerciseDate, const Period &length, Rate strike) const |
void | checkRange (Time, Time, Rate strike, bool extrapolate) const |
void | checkRange (const Date &exerciseDate, const Period &length, Rate strike, bool extrapolate) const |
Constructor & Destructor Documentation
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.