26#ifndef quantlib_swaption_constant_volatility_hpp
27#define quantlib_swaption_constant_volatility_hpp
Constant swaption volatility, no time-strike dependence.
Handle< Quote > volatility_
Real minStrike() const override
the minimum strike for which the term structure can return vols
Real shiftImpl(Time optionTime, Time swapLength) const override
ext::shared_ptr< SmileSection > smileSectionImpl(const Date &, const Period &) const override
VolatilityType volatilityType() const override
volatility type
Volatility volatilityImpl(const Date &, const Period &, Rate) const override
Date maxDate() const override
the latest date for which the curve can return values
Real maxStrike() const override
the maximum strike for which the term structure can return vols
const Period & maxSwapTenor() const override
the largest length for which the term structure can return vols
VolatilityType volatilityType_
static Date maxDate()
latest allowed date
Shared handle to an observable.
Swaption-volatility structure
virtual Real shiftImpl(const Date &optionDate, const Period &swapTenor) const
Real shift(const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const
returns the shift for a given option tenor and swap tenor
Time swapLength(const Period &swapTenor) const
implements the conversion between swap tenor and swap (time) length
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
virtual Natural settlementDays() const
the settlementDays used for reference date calculation
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility
period- and frequency-related classes and enumerations
Swaption volatility structure.