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_ |