Wrapper class for building Swaption volatility structures. More...

#include <ored/marketdata/swaptionvolcurve.hpp>

Inheritance diagram for SwaptionVolCurve:

Collaboration diagram for SwaptionVolCurve:

Public Member Functions
Constructors
	SwaptionVolCurve ()
	Default constructor. More...

	SwaptionVolCurve (Date asof, SwaptionVolatilityCurveSpec spec, const Loader &loader, const CurveConfigurations &curveConfigs, const map< string, QuantLib::ext::shared_ptr< SwapIndex > > &requiredSwapIndices={}, const map< string, QuantLib::ext::shared_ptr< GenericYieldVolCurve > > &requiredVolCurves={}, const bool buildCalibrationInfo=true)
	Detailed constructor. More...

Public Member Functions inherited from GenericYieldVolCurve
	GenericYieldVolCurve ()
	Default constructor. More...

virtual	~GenericYieldVolCurve ()
	dtor More...

	GenericYieldVolCurve (const Date &asof, const Loader &loader, const CurveConfigurations &curveConfigs, const QuantLib::ext::shared_ptr< GenericYieldVolatilityCurveConfig > &config, const map< string, QuantLib::ext::shared_ptr< SwapIndex > > &requiredSwapIndices, const map< string, QuantLib::ext::shared_ptr< GenericYieldVolCurve > > &requiredVolCurves, const std::function< bool(const QuantLib::ext::shared_ptr< MarketDatum > &md, Period &expiry, Period &term)> &matchAtmQuote, const std::function< bool(const QuantLib::ext::shared_ptr< MarketDatum > &md, Period &expiry, Period &term, Real &strike)> &matchSmileQuote, const std::function< bool(const QuantLib::ext::shared_ptr< MarketDatum > &md, Period &term)> &matchShiftQuote, const bool buildCalibrationInfo)
	Detailed constructor. More...

const QuantLib::ext::shared_ptr< SwaptionVolatilityStructure > &	volTermStructure ()

QuantLib::ext::shared_ptr< IrVolCalibrationInfo >	calibrationInfo () const

Inspectors
SwaptionVolatilityCurveSpec	spec_

const SwaptionVolatilityCurveSpec &	spec () const

Detailed Description

Wrapper class for building Swaption volatility structures.

Definition at line 38 of file swaptionvolcurve.hpp.

Constructor & Destructor Documentation

◆ SwaptionVolCurve() [1/2]

SwaptionVolCurve ( )

Default constructor.

Definition at line 43 of file swaptionvolcurve.hpp.

43{}

◆ SwaptionVolCurve() [2/2]

SwaptionVolCurve	(	Date	asof,
		SwaptionVolatilityCurveSpec	spec,
		const Loader &	loader,
		const CurveConfigurations &	curveConfigs,
		const map< string, QuantLib::ext::shared_ptr< SwapIndex > > &	requiredSwapIndices = `{}`,
		const map< string, QuantLib::ext::shared_ptr< GenericYieldVolCurve > > &	requiredVolCurves = `{}`,
		const bool	buildCalibrationInfo = `true`
	)

Detailed constructor.

Definition at line 28 of file swaptionvolcurve.cpp.

    : GenericYieldVolCurve(
          asof, loader, curveConfigs, curveConfigs.swaptionVolCurveConfig(spec.curveConfigID()), requiredSwapIndices,
          requiredVolCurves,
          [](const QuantLib::ext::shared_ptr<MarketDatum>& md, Period& expiry, Period& term) -> bool {
              QuantLib::ext::shared_ptr<SwaptionQuote> q = QuantLib::ext::dynamic_pointer_cast<SwaptionQuote>(md);
              if (q == nullptr)
                  return false;
              expiry = q->expiry();
              term = q->term();
              return q->dimension() == "ATM" && q->instrumentType() == MarketDatum::InstrumentType::SWAPTION;
          },
          [](const QuantLib::ext::shared_ptr<MarketDatum>& md, Period& expiry, Period& term, Real& strike) {
              QuantLib::ext::shared_ptr<SwaptionQuote> q = QuantLib::ext::dynamic_pointer_cast<SwaptionQuote>(md);
              if (q == nullptr)
                  return false;
              expiry = q->expiry();
              term = q->term();
              strike = q->strike();
              return q->dimension() == "Smile" && q->instrumentType() == MarketDatum::InstrumentType::SWAPTION;
          },
          [](const QuantLib::ext::shared_ptr<MarketDatum>& md, Period& term) {
              QuantLib::ext::shared_ptr<SwaptionShiftQuote> q = QuantLib::ext::dynamic_pointer_cast<SwaptionShiftQuote>(md);
              if (q == nullptr)
                  return false;
              term = q->term();
              return true;
          },
          buildCalibrationInfo),
      spec_(spec) {}

Member Function Documentation

◆ spec()

const SwaptionVolatilityCurveSpec & spec ( ) const

Definition at line 54 of file swaptionvolcurve.hpp.

54{ return spec_; }

Member Data Documentation

◆ spec_

SwaptionVolatilityCurveSpec spec_

private

Definition at line 58 of file swaptionvolcurve.hpp.

Public Member Functions

Inspectors