SwaptionVolatilityStructure Class Reference
#include <ql/termstructures/volatility/swaption/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 | |
| virtual std::pair< Time, Time > | convertDates (const Date &optionDate, const Period &swapTenor) const |
| implements the conversion between dates and times | |
Constructors | |
See the TermStructure documentation for issues regarding constructors. | |
| SwaptionVolatilityStructure (const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following) | |
| default constructor | |
| SwaptionVolatilityStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following) | |
| initialize with a fixed reference date | |
| SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following) | |
| calculate the reference date based on the global evaluation date | |
Volatility, variance and smile | |
| Volatility | volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option time and swapLength | |
| Real | blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option time and swapLength | |
| boost::shared_ptr< SmileSection > | smileSection (Time optionTime, Time swapLength) const |
| returns the smile for a given option time and swapLength | |
| Volatility | volatility (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option date and swap tenor | |
| Real | blackVariance (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option date and swap tenor | |
| boost::shared_ptr< SmileSection > | smileSection (const Date &optionDate, const Period &swapTenor) const |
| returns the smile for a given option date and swap tenor | |
| Volatility | volatility (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
| returns the volatility for a given option tenor and swap tenor | |
| Real | blackVariance (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const |
| returns the Black variance for a given option tenor and swap tenor | |
| boost::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, const Period &swapTenor) const |
| returns the smile for a given option tenor and swap tenor | |
Limits | |
| virtual const Period & | maxSwapTenor () const =0 |
| the largest length for which the term structure can return vols | |
| virtual Time | maxSwapLength () const |
| the largest swapLength 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 | |
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virtual boost::shared_ptr < SmileSection > | smileSectionImpl (Time optionTime, Time swapLength) const =0 |
| return smile section | |
|
virtual boost::shared_ptr < SmileSection > | smileSectionImpl (const Date &optionDate, const Period &swapTenor) const |
| virtual Volatility | volatilityImpl (Time optionTime, Time swapLength, Rate strike) const =0 |
| implements the actual volatility calculation in derived classes | |
| virtual Volatility | volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const |
| void | checkRange (Time, Time, Rate strike, bool extrapolate) const |
| void | checkRange (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate) const |
Constructor & Destructor Documentation
| SwaptionVolatilityStructure | ( | const Calendar & | calendar = Calendar(), |
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| const DayCounter & | dc = DayCounter(), |
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| BusinessDayConvention | bdc = Following | |||
| ) |
default constructor
- Warning:
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.