SwaptionVolatilityMatrix Class Reference

#include <ql/Volatilities/swaptionvolmatrix.hpp>

Inheritance diagram for SwaptionVolatilityMatrix:

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List of all members.

Detailed Description

At-the-money swaption-volatility matrix.

This class provides the at-the-money volatility for a given swaption by interpolating a volatility matrix whose elements are the market volatilities of a set of swaption with given exercise date and length.

The volatility matrix M must be defined so that:


Public Member Functions

 SwaptionVolatilityMatrix (const std::vector< Period > &expiries, const Calendar &calendar, const BusinessDayConvention bdc, const std::vector< Period > &tenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter)
 SwaptionVolatilityMatrix (const Date &referenceDate, const std::vector< Date > &exerciseDates, const std::vector< Period > &lengths, const Matrix &volatilities, const DayCounter &dayCounter)
 SwaptionVolatilityMatrix (const std::vector< Date > &exerciseDates, const std::vector< Period > &tenors, const Matrix &volatilities, const DayCounter &dayCounter)
 SwaptionVolatilityMatrix (const std::vector< Period > &expiries, const Calendar &calendar, const BusinessDayConvention bdc, const std::vector< Period > &tenors, const Matrix &volatilities, const DayCounter &dayCounter)
const std::vector< Date > & exerciseDates () const
const std::vector< Time > & exerciseTimes () const
const std::vector< Period > & lengths () const
const std::vector< Time > & timeLengths () const
TermStructure interface
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
boost::shared_ptr< SmileSectionsmileSection (const Date &exerciseDate, const Period &length) const
 return trivial smile section
virtual boost::shared_ptr<
SmileSection
smileSection (Time start, Time length) const
 return trivial smile section
std::pair< Time, Time > convertDates (const Date &exerciseDate, const Period &length) const
 implements the conversion between dates and times
Other inspectors
std::pair< Size, Size > locate (const Date &exerciseDate, const Period &length) const
 returns the lower indexes of surrounding volatility matrix corners
std::pair< Size, Size > locate (Time exerciseTime, Time length) const
 returns the lower indexes of surrounding volatility matrix corners