SwaptionVolatilityMatrix Class Reference

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
Public Member Functions inherited from SwaptionVolatilityDiscrete
	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
Public Member Functions inherited from SwaptionVolatilityStructure
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
Public Member Functions inherited from VolatilityTermStructure
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
Public Member Functions inherited from TermStructure
	TermStructure (const DayCounter &dc=DayCounter())
	default constructor
	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 ()
Public Member Functions inherited from Observer
	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 ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Extrapolator
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
Public Member Functions inherited from LazyObject
void	update ()
void	recalculate ()
void	freeze ()
void	unfreeze ()

Protected Member Functions
boost::shared_ptr< SmileSection >	smileSectionImpl (Time, Time) const
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const

Additional Inherited Members
Protected Attributes inherited from SwaptionVolatilityDiscrete
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_

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.

Member Function Documentation

void performCalculations ( ) const

virtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.