SwaptionVolCubeWithATM Class Reference

Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols. More...

#include <qle/termstructures/swaptionvolcubewithatm.hpp>

Inheritance diagram for SwaptionVolCubeWithATM:

Collaboration diagram for SwaptionVolCubeWithATM:

Public Member Functions
	SwaptionVolCubeWithATM (const QuantLib::ext::shared_ptr< SwaptionVolatilityCube > &cube)
TermStructure interface
DayCounter	dayCounter () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
VolatilityTermStructure interface
Rate	minStrike () const override
Rate	maxStrike () const override

SwaptionVolatilityStructure interface
QuantLib::ext::shared_ptr< SwaptionVolatilityCube >	cube_
const Period &	maxSwapTenor () const override
VolatilityType	volatilityType () const override
QuantLib::ext::shared_ptr< SwaptionVolatilityCube >	cube () const
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override
Real	shiftImpl (Time optionTime, Time swapLength) const override

Detailed Description

Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols.

This class implements SwaptionVolatilityStructure and takes a cube as an input. If asked for a volatility with strike=Null<Real>() it will return the ATM vol by asking the ATM surface directly. If asked for any other strike it will pass it on to the cube.

There is no calculation of ATM in this class.

Definition at line 43 of file swaptionvolcubewithatm.hpp.

Constructor & Destructor Documentation

SwaptionVolCubeWithATM()

SwaptionVolCubeWithATM

(

const QuantLib::ext::shared_ptr< SwaptionVolatilityCube > &

cube

)

Constructor. This is a floating term structure (settlement days is zero) to match QuantLib::SwaptionVolatilityCube

Definition at line 47 of file swaptionvolcubewithatm.hpp.

        : SwaptionVolatilityStructure(0, cube->calendar(), cube->businessDayConvention(), cube->dayCounter()),
          cube_(cube) {
        enableExtrapolation(cube_->allowsExtrapolation());
        registerWith(cube);
    }

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Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 56 of file swaptionvolcubewithatm.hpp.

{ return cube_->dayCounter(); }

maxDate()

Date maxDate ( ) const

override

Definition at line 57 of file swaptionvolcubewithatm.hpp.

{ return cube_->maxDate(); }

maxTime()

Time maxTime ( ) const

override

Definition at line 58 of file swaptionvolcubewithatm.hpp.

{ return cube_->maxTime(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 59 of file swaptionvolcubewithatm.hpp.

{ return cube_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 60 of file swaptionvolcubewithatm.hpp.

{ return cube_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 61 of file swaptionvolcubewithatm.hpp.

{ return cube_->settlementDays(); }

minStrike()

Rate minStrike ( ) const

override

Definition at line 64 of file swaptionvolcubewithatm.hpp.

{ return cube_->minStrike(); }

maxStrike()

Rate maxStrike ( ) const

override

Definition at line 65 of file swaptionvolcubewithatm.hpp.

{ return cube_->maxStrike(); }

maxSwapTenor()

const Period & maxSwapTenor ( ) const

override

Definition at line 69 of file swaptionvolcubewithatm.hpp.

{ return cube_->maxSwapTenor(); }

volatilityType()

VolatilityType volatilityType ( ) const

override

Definition at line 70 of file swaptionvolcubewithatm.hpp.

{ return cube_->volatilityType(); }

cube()

QuantLib::ext::shared_ptr< SwaptionVolatilityCube > cube

(

)

const

Definition at line 73 of file swaptionvolcubewithatm.hpp.

{ return cube_; }

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smileSectionImpl()

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

overrideprotected

Definition at line 77 of file swaptionvolcubewithatm.hpp.

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

volatilityImpl()

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

overrideprotected

Definition at line 82 of file swaptionvolcubewithatm.hpp.

                                                                                            {
        if (strike == Null<Real>()) {
            return cube_->atmVol()->volatility(optionTime, swapLength, 0.0);
        } else {
            return cube_->volatility(optionTime, swapLength, strike);
        }
    }

shiftImpl()

Real shiftImpl ( Time  optionTime, Time  swapLength  ) const

overrideprotected

Definition at line 90 of file swaptionvolcubewithatm.hpp.

{ return cube_->shift(optionTime, swapLength); }

Member Data Documentation

cube_

QuantLib::ext::shared_ptr<SwaptionVolatilityCube> cube_

private

Definition at line 93 of file swaptionvolcubewithatm.hpp.