SwaptionVolatilityConstantSpread Class Reference

Swaption cube that combines an ATM matrix and vol spreads from a cube. More...

#include <qle/termstructures/swaptionvolconstantspread.hpp>

Inheritance diagram for SwaptionVolatilityConstantSpread:

Collaboration diagram for SwaptionVolatilityConstantSpread:

Public Member Functions
	SwaptionVolatilityConstantSpread (const Handle< SwaptionVolatilityStructure > &atm, const Handle< SwaptionVolatilityStructure > &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
const Period &	maxSwapTenor () const override
VolatilityType	volatilityType () const override

Observer interface
Handle< SwaptionVolatilityStructure >	atm_
Handle< SwaptionVolatilityStructure >	cube_
void	deepUpdate () override
const Handle< SwaptionVolatilityStructure > &	atmVol ()
const Handle< SwaptionVolatilityStructure > &	cube ()
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override

Detailed Description

Swaption cube that combines an ATM matrix and vol spreads from a cube.

Notice that the TS has a floating reference date and accesses the source TS only via their time-based volatility methods.

Warning:

the given atm vol structure should be strike independent, this is not checked

the given cube must provide smile sections that provide an ATM level

Definition at line 69 of file swaptionvolconstantspread.hpp.

Constructor & Destructor Documentation

SwaptionVolatilityConstantSpread()

SwaptionVolatilityConstantSpread	(	const Handle< SwaptionVolatilityStructure > &	atm,
		const Handle< SwaptionVolatilityStructure > &	cube
	)

Definition at line 71 of file swaptionvolconstantspread.hpp.

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

Member Function Documentation

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 82 of file swaptionvolconstantspread.hpp.

{ return atm_->dayCounter(); }

maxDate()

Date maxDate ( ) const

override

Definition at line 83 of file swaptionvolconstantspread.hpp.

{ return atm_->maxDate(); }

maxTime()

Time maxTime ( ) const

override

Definition at line 84 of file swaptionvolconstantspread.hpp.

{ return atm_->maxTime(); }

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 85 of file swaptionvolconstantspread.hpp.

{ return atm_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 86 of file swaptionvolconstantspread.hpp.

{ return atm_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 87 of file swaptionvolconstantspread.hpp.

{ return atm_->settlementDays(); }

minStrike()

Rate minStrike ( ) const

override

Definition at line 90 of file swaptionvolconstantspread.hpp.

{ return cube_->minStrike(); }

maxStrike()

Rate maxStrike ( ) const

override

Definition at line 91 of file swaptionvolconstantspread.hpp.

{ return cube_->maxStrike(); }

maxSwapTenor()

const Period & maxSwapTenor ( ) const

override

Definition at line 95 of file swaptionvolconstantspread.hpp.

{ return atm_->maxSwapTenor(); }

volatilityType()

VolatilityType volatilityType ( ) const

override

Definition at line 96 of file swaptionvolconstantspread.hpp.

{ return atm_->volatilityType(); }

deepUpdate()

void deepUpdate ( )

override

Definition at line 45 of file swaptionvolconstantspread.cpp.

                                                  {
    atm_->update();
    cube_->update();
    update();
}

atmVol()

const Handle< SwaptionVolatilityStructure > & atmVol

(

)

Definition at line 102 of file swaptionvolconstantspread.hpp.

{ return atm_; }

cube()

const Handle< SwaptionVolatilityStructure > & cube

(

)

Definition at line 103 of file swaptionvolconstantspread.hpp.

{ return cube_; }

smileSectionImpl()

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

overrideprotected

Definition at line 32 of file swaptionvolconstantspread.cpp.

                                                                                                          {
    return QuantLib::ext::make_shared<ConstantSpreadSmileSection>(atm_, cube_, optionTime, swapLength);
}

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volatilityImpl()

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

overrideprotected

Definition at line 37 of file swaptionvolconstantspread.cpp.

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

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Member Data Documentation

atm_

Handle<SwaptionVolatilityStructure> atm_

private

Definition at line 111 of file swaptionvolconstantspread.hpp.

cube_

Handle<SwaptionVolatilityStructure> cube_

private

Definition at line 111 of file swaptionvolconstantspread.hpp.