ProxySwaptionVolatility Class Reference

#include <qle/termstructures/proxyswaptionvolatility.hpp>

Inheritance diagram for ProxySwaptionVolatility:

Collaboration diagram for ProxySwaptionVolatility:

Public Member Functions
	ProxySwaptionVolatility (const QuantLib::Handle< SwaptionVolatilityStructure > &baseVol, QuantLib::ext::shared_ptr< QuantLib::SwapIndex > baseSwapIndexBase, QuantLib::ext::shared_ptr< QuantLib::SwapIndex > baseShortSwapIndexBase, QuantLib::ext::shared_ptr< QuantLib::SwapIndex > targetSwapIndexBase, QuantLib::ext::shared_ptr< QuantLib::SwapIndex > targetShortSwapIndexBase)
QuantLib::Rate	minStrike () const override
QuantLib::Rate	maxStrike () const override
QuantLib::Date	maxDate () const override
const QuantLib::Date &	referenceDate () const override
QuantLib::VolatilityType	volatilityType () const override
QuantLib::Calendar	calendar () const override
const QuantLib::Period &	maxSwapTenor () const override

Private Member Functions
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (const QuantLib::Date &optionDate, const QuantLib::Period &swapTenor) const override
QuantLib::ext::shared_ptr< QuantLib::SmileSection >	smileSectionImpl (QuantLib::Time optionTime, QuantLib::Time swapLength) const override
QuantLib::Volatility	volatilityImpl (QuantLib::Time optionTime, QuantLib::Time swapLength, QuantLib::Rate strike) const override

Private Attributes
QuantLib::Handle< QuantLib::SwaptionVolatilityStructure >	baseVol_
QuantLib::ext::shared_ptr< QuantLib::SwapIndex >	baseSwapIndexBase_
QuantLib::ext::shared_ptr< QuantLib::SwapIndex >	baseShortSwapIndexBase_
QuantLib::ext::shared_ptr< QuantLib::SwapIndex >	targetSwapIndexBase_
QuantLib::ext::shared_ptr< QuantLib::SwapIndex >	targetShortSwapIndexBase_

Detailed Description

Definition at line 31 of file proxyswaptionvolatility.hpp.

Constructor & Destructor Documentation

ProxySwaptionVolatility()

ProxySwaptionVolatility	(	const QuantLib::Handle< SwaptionVolatilityStructure > &	baseVol,
		QuantLib::ext::shared_ptr< QuantLib::SwapIndex >	baseSwapIndexBase,
		QuantLib::ext::shared_ptr< QuantLib::SwapIndex >	baseShortSwapIndexBase,
		QuantLib::ext::shared_ptr< QuantLib::SwapIndex >	targetSwapIndexBase,
		QuantLib::ext::shared_ptr< QuantLib::SwapIndex >	targetShortSwapIndexBase
	)

Definition at line 27 of file proxyswaptionvolatility.cpp.

    : SwaptionVolatilityStructure(baseVol->businessDayConvention(), baseVol->dayCounter()), baseVol_(baseVol),
      baseSwapIndexBase_(baseSwapIndexBase), baseShortSwapIndexBase_(baseShortSwapIndexBase),
      targetSwapIndexBase_(targetSwapIndexBase), targetShortSwapIndexBase_(targetShortSwapIndexBase) {
    enableExtrapolation(baseVol->allowsExtrapolation());
}

Member Function Documentation

minStrike()

QuantLib::Rate minStrike ( ) const

override

Definition at line 39 of file proxyswaptionvolatility.hpp.

{ return baseVol_->minStrike(); }

maxStrike()

QuantLib::Rate maxStrike ( ) const

override

Definition at line 40 of file proxyswaptionvolatility.hpp.

{ return baseVol_->maxStrike(); }

maxDate()

QuantLib::Date maxDate ( ) const

override

Definition at line 41 of file proxyswaptionvolatility.hpp.

{ return baseVol_->maxDate(); }

referenceDate()

const QuantLib::Date & referenceDate ( ) const

override

Definition at line 42 of file proxyswaptionvolatility.hpp.

{ return baseVol_->referenceDate(); }

volatilityType()

QuantLib::VolatilityType volatilityType ( ) const

override

Definition at line 43 of file proxyswaptionvolatility.hpp.

{ return baseVol_->volatilityType(); }

calendar()

QuantLib::Calendar calendar ( ) const

override

Definition at line 44 of file proxyswaptionvolatility.hpp.

{ return baseVol_->calendar(); }

maxSwapTenor()

const QuantLib::Period & maxSwapTenor ( ) const

override

Definition at line 46 of file proxyswaptionvolatility.hpp.

{ return baseVol_->maxSwapTenor(); }

smileSectionImpl() [1/2]

QuantLib::ext::shared_ptr< QuantLib::SmileSection > smileSectionImpl ( const QuantLib::Date &  optionDate, const QuantLib::Period &  swapTenor  ) const

overrideprivate

smileSectionImpl() [2/2]

QuantLib::ext::shared_ptr< QuantLib::SmileSection > smileSectionImpl ( QuantLib::Time  optionTime, QuantLib::Time  swapLength  ) const

overrideprivate

volatilityImpl()

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

overrideprivate

Definition at line 62 of file proxyswaptionvolatility.cpp.

                                                                                                      {
    return smileSection(optionTime, swapLength)->volatility(strike);
}

Member Data Documentation

baseVol_

QuantLib::Handle<QuantLib::SwaptionVolatilityStructure> baseVol_

private

Definition at line 56 of file proxyswaptionvolatility.hpp.

baseSwapIndexBase_

QuantLib::ext::shared_ptr<QuantLib::SwapIndex> baseSwapIndexBase_

private

Definition at line 57 of file proxyswaptionvolatility.hpp.

baseShortSwapIndexBase_

QuantLib::ext::shared_ptr<QuantLib::SwapIndex> baseShortSwapIndexBase_

private

Definition at line 58 of file proxyswaptionvolatility.hpp.

targetSwapIndexBase_

QuantLib::ext::shared_ptr<QuantLib::SwapIndex> targetSwapIndexBase_

private

Definition at line 59 of file proxyswaptionvolatility.hpp.

targetShortSwapIndexBase_

QuantLib::ext::shared_ptr<QuantLib::SwapIndex> targetShortSwapIndexBase_

private

Definition at line 60 of file proxyswaptionvolatility.hpp.