vegaWeightedSmileFit_ (3) Linux Manual Page

QuantLib::SwaptionVolatilityCube – swaption-volatility cube

Synopsis

void registerWithVolatilitySpread ()



Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const



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



Protected Attributes

Inherits QuantLib::SwaptionVolatilityDiscrete. Inherited by SwaptionVolCube1, and SwaptionVolCube2.

Public Member Functions

SwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit)
TermStructure interface

void registerWithVolatilitySpread ()



Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const



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



Protected Attributes

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

void registerWithVolatilitySpread ()



Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const



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



Protected Attributes

Other inspectors

Rate atmStrike (const Date &optionDate, const Period &swapTenor) const

Rate atmStrike (const Period &optionTenor, const Period &swapTenor) const

Protected Member Functions

void registerWithVolatilitySpread ()



Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const



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



Protected Attributes

Handle< SwaptionVolatilityStructure > atmVol_

Size nStrikes_

std::vector< Spread > strikeSpreads_

std::vector< Rate > localStrikes_

std::vector< Volatility > localSmile_

std::vector< std::vector< Handle< Quote > > > volSpreads_

boost::shared_ptr< SwapIndex > swapIndexBase_

boost::shared_ptr< SwapIndex > shortSwapIndexBase_

bool vegaWeightedSmileFit_

Detailed Description

swaption-volatility cube

Warning

this class is not finalized and its interface might change in subsequent releases.

Author

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