At-the-money swaption-volatility matrix. More...
#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) | |
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 |
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 | |
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SwaptionVolatilityDiscrete (const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc) | |
SwaptionVolatilityDiscrete (const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc) | |
SwaptionVolatilityDiscrete (const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc) | |
const std::vector< Period > & | optionTenors () const |
const std::vector< Date > & | optionDates () const |
const std::vector< Time > & | optionTimes () const |
const std::vector< Period > & | swapTenors () const |
const std::vector< Time > & | swapLengths () const |
void | update () |
void | performCalculations () const |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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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 | |
SwaptionVolatilityStructure (const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
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 | 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 | |
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 | |
Time | maxSwapLength () const |
the largest swapLength for which the term structure can return vols | |
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virtual BusinessDayConvention | businessDayConvention () const |
the business day convention used in tenor to date conversion | |
Date | optionDateFromTenor (const Period &) const |
period/date conversion | |
VolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
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TermStructure (const DayCounter &dc=DayCounter()) | |
default constructor More... | |
TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
initialize with a fixed reference date | |
TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
calculate the reference date based on the global evaluation date | |
virtual DayCounter | dayCounter () const |
the day counter used for date/time conversion | |
Time | timeFromReference (const Date &date) const |
date/time conversion | |
virtual Time | maxTime () const |
the latest time for which the curve can return values | |
virtual const Date & | referenceDate () const |
the date at which discount = 1.0 and/or variance = 0.0 | |
virtual Calendar | calendar () const |
the calendar used for reference and/or option date calculation | |
virtual Natural | settlementDays () const |
the settlementDays used for reference date calculation | |
void | update () |
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void | enableExtrapolation (bool b=true) |
enable extrapolation in subsequent calls | |
void | disableExtrapolation (bool b=true) |
disable extrapolation in subsequent calls | |
bool | allowsExtrapolation () const |
tells whether extrapolation is enabled | |
Protected Member Functions | |
boost::shared_ptr< SmileSection > | smileSectionImpl (Time, Time) const |
Volatility | volatilityImpl (Time optionTime, Time swapLength, Rate strike) const |
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virtual void | calculate () const |
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virtual boost::shared_ptr < SmileSection > | smileSectionImpl (const Date &optionDate, const Period &swapTenor) const |
virtual Volatility | volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const |
void | checkSwapTenor (const Period &swapTenor, bool extrapolate) const |
void | checkSwapTenor (Time swapLength, bool extrapolate) const |
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void | checkStrike (Rate strike, bool extrapolate) const |
strike-range check | |
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void | checkRange (const Date &d, bool extrapolate) const |
date-range check | |
void | checkRange (Time t, bool extrapolate) const |
time-range check | |
Additional Inherited Members | |
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Size | nOptionTenors_ |
std::vector< Period > | optionTenors_ |
std::vector< Date > | optionDates_ |
std::vector< Time > | optionTimes_ |
std::vector< Real > | optionDatesAsReal_ |
Interpolation | optionInterpolator_ |
Size | nSwapTenors_ |
std::vector< Period > | swapTenors_ |
std::vector< Time > | swapLengths_ |
Date | evaluationDate_ |
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bool | calculated_ |
bool | frozen_ |
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bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
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:
M[i][j]
contains the volatility corresponding to the i
-th option and j
-th tenor.
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virtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.