QuantLib_SwaptionVolatilityMatrix man page

SwaptionVolatilityMatrix — At-the-money swaption-volatility matrix.  

Synopsis

#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp>

Inherits SwaptionVolatilityDiscrete, and noncopyable.

Public Member Functions

SwaptionVolatilityMatrix (const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter, const bool flatExtrapolation=false, const VolatilityType type=ShiftedLognormal, const std::vector< std::vector< Real > > &shifts=std::vector< std::vector< Real > >())
floating reference date, floating market data
SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter, const bool flatExtrapolation=false, const VolatilityType type=ShiftedLognormal, const std::vector< std::vector< Real > > &shifts=std::vector< std::vector< Real > >())
fixed reference date, floating market data
SwaptionVolatilityMatrix (const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter, const bool flatExtrapolation=false, const VolatilityType type=ShiftedLognormal, const Matrix &shifts=Matrix())
floating reference date, fixed market data
SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter, const bool flatExtrapolation=false, const VolatilityType type=ShiftedLognormal, const Matrix &shifts=Matrix())
fixed reference date, fixed market data
SwaptionVolatilityMatrix (const Date &referenceDate, const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Matrix &volatilities, const DayCounter &dayCounter, const bool flatExtrapolation=false, const VolatilityType type=ShiftedLognormal, const Matrix &shifts=Matrix())
VolatilityType volatilityType () const
volatility type

LazyObject interface

void performCalculations () const

TermStructure interface

Date maxDate () const
the latest date for which the curve can return values

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

std::pair< Size, Size > locate (const Date &optionDate, const Period &swapTenor) const
returns the lower indexes of surrounding volatility matrix corners
std::pair< Size, Size > locate (Time optionTime, Time swapLength) const
returns the lower indexes of surrounding volatility matrix corners

Protected Member Functions

boost::shared_ptr< SmileSection > smileSectionImpl (Time, Time) const
Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const
Real shiftImpl (Time optionTime, Time swapLength) const

Detailed Description

At-the-money swaption-volatility matrix.

This class provides the at-the-money volatility for a given swaption by interpolating a volatility matrix whose elements are the market volatilities of a set of swaption with given option date and swapLength.

The volatility matrix M must be defined so that:

Member Function Documentation

void performCalculations () const [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Author

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Referenced By

The man page SwaptionVolatilityMatrix(3) is an alias of QuantLib_SwaptionVolatilityMatrix(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib