QuantLib_SwaptionVolatilityStructure man page

SwaptionVolatilityStructure — Swaption-volatility structure

Synopsis

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

Inherits VolatilityTermStructure.

Inherited by ConstantSwaptionVolatility, Gaussian1dSwaptionVolatility, SpreadedSwaptionVolatility, and SwaptionVolatilityDiscrete.

Public Member Functions

Time swapLength (const Period &swapTenor) const
implements the conversion between swap tenor and swap (time) length
Time swapLength (const Date &start, const Date &end) const
implements the conversion between swap dates and swap (time) length

Constructors
See the TermStructure documentation for issues regarding constructors.

SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())

SwaptionVolatilityStructure (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
initialize with a fixed reference date
SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
calculate the reference date based on the global evaluation date

Volatility, variance and smile

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
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
Volatility volatility (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
returns the volatility for a given option time and swap tenor
Volatility volatility (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
returns the volatility for a given option tenor and swap length
Volatility volatility (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
returns the volatility for a given option date and swap length
Volatility volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
returns the volatility for a given option time and swap length
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
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
Real blackVariance (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
returns the Black variance for a given option time and swap tenor
Real blackVariance (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
returns the Black variance for a given option tenor and swap length
Real blackVariance (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
returns the Black variance for a given option date and swap length
Real blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
returns the Black variance for a given option time and swap length
Real shift (const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const
returns the shift for a given option tenor and swap tenor
Real shift (const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const
returns the shift for a given option date and swap tenor
Real shift (Time optionTime, const Period &swapTenor, bool extrapolate=false) const
returns the shift for a given option time and swap tenor
Real shift (const Period &optionTenor, Time swapLength, bool extrapolate=false) const
returns the shift for a given option tenor and swap length
Real shift (const Date &optionDate, Time swapLength, bool extrapolate=false) const
returns the shift for a given option date and swap length
Real shift (Time optionTime, Time swapLength, bool extrapolate=false) const
returns the shift for a given option time and swap length
boost::shared_ptr< SmileSection > smileSection (const Period &optionTenor, const Period &swapTenor, bool extr=false) const
returns the smile for a given option tenor and swap tenor
boost::shared_ptr< SmileSection > smileSection (const Date &optionDate, const Period &swapTenor, bool extr=false) const
returns the smile for a given option date and swap tenor
boost::shared_ptr< SmileSection > smileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
returns the smile for a given option time and swap tenor
boost::shared_ptr< SmileSection > smileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
returns the smile for a given option tenor and swap length
boost::shared_ptr< SmileSection > smileSection (const Date &optionDate, Time swapLength, bool extr=false) const
returns the smile for a given option date and swap length
boost::shared_ptr< SmileSection > smileSection (Time optionTime, Time swapLength, bool extr=false) const
returns the smile for a given option time and swap length

Limits

virtual const Period & maxSwapTenor () const =0
the largest length for which the term structure can return vols
Time maxSwapLength () const
the largest swapLength for which the term structure can return vols
virtual VolatilityType volatilityType () const
volatility type

Protected Member Functions

virtual boost::shared_ptr< SmileSection > smileSectionImpl (const Date &optionDate, const Period &swapTenor) const

virtual boost::shared_ptr< SmileSection > smileSectionImpl (Time optionTime, Time swapLength) const =0

virtual Volatility volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const

virtual Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const =0

virtual Real shiftImpl (const Date &optionDate, const Period &swapTenor) const

virtual Real shiftImpl (Time optionTime, Time swapLength) const

void checkSwapTenor (const Period &swapTenor, bool extrapolate) const

void checkSwapTenor (Time swapLength, bool extrapolate) const

Additional Inherited Members

Detailed Description

Swaption-volatility structure

This abstract class defines the interface of concrete swaption volatility structures which will be derived from this one.

Constructor & Destructor Documentation

SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter & dc = DayCounter())

Warning

term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

checkSwapTenor(3), maxSwapLength(3), swapLength(3) and SwaptionVolatilityStructure(3) are aliases of QuantLib_SwaptionVolatilityStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib