swaption-volatility cube More...
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
Inherits SwaptionVolatilityDiscrete.
Inherited by SwaptionVolCube1x< Model >, and SwaptionVolCube2.
Public Member Functions | |
| SwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit) | |
| Real | shift (Time optionTime, Time swapLength) const |
| shift size for displaced lognormal volatility | |
TermStructure interface | |
| DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| 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 | |
| const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 | |
| Calendar | calendar () const |
| the calendar used for reference and/or option date calculation | |
| Natural | settlementDays () const |
| the settlementDays used for reference date calculation | |
VolatilityTermStructure interface | |
| 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 | |
SwaptionVolatilityStructure interface | |
| const Period & | maxSwapTenor () const |
| the largest length for which the term structure can return vols | |
Other inspectors | |
| Rate | atmStrike (const Date &optionDate, const Period &swapTenor) const |
| Rate | atmStrike (const Period &optionTenor, const Period &swapTenor) const |
| Handle< SwaptionVolatilityStructure > | atmVol () const |
| const std::vector< Spread > & | strikeSpreads () const |
| const std::vector< std::vector< Handle< Quote > > > & | volSpreads () const |
| const boost::shared_ptr< SwapIndex > | swapIndexBase () const |
| const boost::shared_ptr< SwapIndex > | shortSwapIndexBase () const |
| const bool | vegaWeightedSmileFit () const |
LazyObject interface | |
| void | performCalculations () const |
Protected Member Functions | |
| void | registerWithVolatilitySpread () |
| virtual Size | requiredNumberOfStrikes () const |
| Volatility | volatilityImpl (Time optionTime, Time swapLength, Rate strike) const |
| Volatility | volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const |
Protected Attributes | |
| Handle< SwaptionVolatilityStructure > | atmVol_ |
| Size | nStrikes_ |
| std::vector< Spread > | strikeSpreads_ |
| std::vector< Rate > | localStrikes_ |
| std::vector< Volatility > | localSmile_ |
| std::vector< std::vector< Handle< Quote > > > | volSpreads_ |
| boost::shared_ptr< SwapIndex > | swapIndexBase_ |
| boost::shared_ptr< SwapIndex > | shortSwapIndexBase_ |
| bool | vegaWeightedSmileFit_ |
swaption-volatility cube
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virtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.