SwaptionVolatilityStructure Class Reference

#include <ql/swaptionvolstructure.hpp>

Inheritance diagram for SwaptionVolatilityStructure:

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List of all members.

Detailed Description

Swaption-volatility structure

This 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.