QuantLib_ConstantSwaptionVolatility man page
ConstantSwaptionVolatility — Constant swaption volatility, no time-strike dependence.
Synopsis
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
Inherits SwaptionVolatilityStructure.
Public Member Functions
ConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)
floating reference date, floating market data
ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)
fixed reference date, floating market data
ConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)
floating reference date, fixed market data
ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, Volatility volatility, const DayCounter &dc, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)
fixed reference date, fixed market data
VolatilityType volatilityType () const
volatility type
TermStructure interface
Date maxDate () const
the latest date for which the curve can return values
VolatilityTermStructure interface
Real minStrike () const
the minimum strike for which the term structure can return vols
Real 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
Protected Member Functions
boost::shared_ptr< SmileSection > smileSectionImpl (const Date &, const Period &) const
boost::shared_ptr< SmileSection > smileSectionImpl (Time, Time) const
Volatility volatilityImpl (const Date &, const Period &, Rate) const
Volatility volatilityImpl (Time, Time, Rate) const
Real shiftImpl (Time optionTime, Time swapLength) const
Additional Inherited Members
Detailed Description
Constant swaption volatility, no time-strike dependence.
Author
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Referenced By
The man pages ConstantSwaptionVolatility(3), maxSwapTenor(3) and shiftImpl(3) are aliases of QuantLib_ConstantSwaptionVolatility(3).