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QuantLib_SwaptionVolatilityMatrix
Langue: en
Version: 383098 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::SwaptionVolatilityMatrix -At-the-money swaption-volatility matrix.
SYNOPSIS
#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp>
Inherits QuantLib::SwaptionVolatilityDiscrete, and boost::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)
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)
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)
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)
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)
LazyObject interface
void performCalculations () const
TermStructure interface
Date maxDate () const
VolatilityTermStructure interface
Rate minStrike () const
Rate maxStrike () const
SwaptionVolatilityStructure interface
const Period & maxSwapTenor () const
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
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:
- *
- the number of rows equals the number of option dates;
- *
- the number of columns equals the number of swap tenors;
- *
- M[i][j] contains the volatility corresponding to the i-th option and j-th tenor.
Author
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