SwapLength (3) Linux Manual Page

QuantLib::SwaptionVolatilityStructure – Swaption-volatility structure

Synopsis

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




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



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



void checkSwapTenor (Time swapLength, bool extrapolate) const

Inherits QuantLib::VolatilityTermStructure. Inherited by ConstantSwaptionVolatility, 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.

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




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



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



void checkSwapTenor (Time swapLength, bool extrapolate) const

Volatility, variance and smile

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




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



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



void checkSwapTenor (Time swapLength, bool extrapolate) const

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




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



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



void checkSwapTenor (Time swapLength, bool extrapolate) const

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 (const Calendar & calendar, BusinessDayConvention bdc, const DayCounter & dc = DayCounter())

default constructor

Warning

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

Author

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swapLength (3) Linux Manual Page