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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ConstantSwaptionVolatility(3), maxSwapTenor(3) and shiftImpl(3) are aliases of QuantLib_ConstantSwaptionVolatility(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib