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XabrSwaptionVolatilityCube< Model > Class Template Reference

XABR Swaption Volatility Cube. More...

#include <sabrswaptionvolatilitycube.hpp>

+ Inheritance diagram for XabrSwaptionVolatilityCube< Model >:
+ Collaboration diagram for XabrSwaptionVolatilityCube< Model >:

Classes

class  Cube
 
class  PrivateObserver
 

Public Member Functions

 XabrSwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const ext::shared_ptr< SwapIndex > &swapIndexBase, const ext::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit, std::vector< std::vector< Handle< Quote > > > parametersGuess, std::vector< bool > isParameterFixed, bool isAtmCalibrated, ext::shared_ptr< EndCriteria > endCriteria=ext::shared_ptr< EndCriteria >(), Real maxErrorTolerance=Null< Real >(), ext::shared_ptr< OptimizationMethod > optMethod=ext::shared_ptr< OptimizationMethod >(), Real errorAccept=Null< Real >(), bool useMaxError=false, Size maxGuesses=50, bool backwardFlat=false, Real cutoffStrike=0.0001)
 
LazyObject interface
void performCalculations () const override
 
SwaptionVolatilityCube interface
ext::shared_ptr< SmileSectionsmileSectionImpl (Time optionTime, Time swapLength) const override
 
- Public Member Functions inherited from SwaptionVolatilityCube
 SwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, std::vector< std::vector< Handle< Quote > > > volSpreads, ext::shared_ptr< SwapIndex > swapIndexBase, ext::shared_ptr< SwapIndex > shortSwapIndexBase, bool vegaWeightedSmileFit)
 
DayCounter dayCounter () const override
 the day counter used for date/time conversion More...
 
Date maxDate () const override
 the latest date for which the curve can return values More...
 
Time maxTime () const override
 the latest time for which the curve can return values More...
 
const DatereferenceDate () const override
 the date at which discount = 1.0 and/or variance = 0.0 More...
 
Calendar calendar () const override
 the calendar used for reference and/or option date calculation More...
 
Natural settlementDays () const override
 the settlementDays used for reference date calculation More...
 
Rate minStrike () const override
 the minimum strike for which the term structure can return vols More...
 
Rate maxStrike () const override
 the maximum strike for which the term structure can return vols More...
 
const PeriodmaxSwapTenor () const override
 the largest length for which the term structure can return vols More...
 
Rate atmStrike (const Date &optionDate, const Period &swapTenor) const
 
Rate atmStrike (const Period &optionTenor, const Period &swapTenor) const
 
Handle< SwaptionVolatilityStructureatmVol () const
 
const std::vector< Spread > & strikeSpreads () const
 
const std::vector< std::vector< Handle< Quote > > > & volSpreads () const
 
ext::shared_ptr< SwapIndexswapIndexBase () const
 
ext::shared_ptr< SwapIndexshortSwapIndexBase () const
 
bool vegaWeightedSmileFit () const
 
void performCalculations () const override
 
VolatilityType volatilityType () const override
 volatility type More...
 
- Public Member Functions inherited from SwaptionVolatilityDiscrete
 SwaptionVolatilityDiscrete (const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)
 
 SwaptionVolatilityDiscrete (const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)
 
 SwaptionVolatilityDiscrete (const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc)
 
const std::vector< Period > & optionTenors () const
 
const std::vector< Date > & optionDates () const
 
const std::vector< Time > & optionTimes () const
 
const std::vector< Period > & swapTenors () const
 
const std::vector< Time > & swapLengths () const
 
void update () override
 
void performCalculations () const override
 
Date optionDateFromTime (Time optionTime) const
 additional inspectors More...
 
- Public Member Functions inherited from LazyObject
 LazyObject ()
 
 ~LazyObject () override=default
 
bool isCalculated () const
 
void forwardFirstNotificationOnly ()
 
void alwaysForwardNotifications ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from SwaptionVolatilityStructure
 SwaptionVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 
 SwaptionVolatilityStructure (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 SwaptionVolatilityStructure (Natural settlementDays, const Calendar &, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~SwaptionVolatilityStructure () override=default
 
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 More...
 
Volatility volatility (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option date and swap tenor More...
 
Volatility volatility (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option time and swap tenor More...
 
Volatility volatility (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option tenor and swap length More...
 
Volatility volatility (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option date and swap length More...
 
Volatility volatility (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the volatility for a given option time and swap length More...
 
Real blackVariance (const Period &optionTenor, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option tenor and swap tenor More...
 
Real blackVariance (const Date &optionDate, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option date and swap tenor More...
 
Real blackVariance (Time optionTime, const Period &swapTenor, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option time and swap tenor More...
 
Real blackVariance (const Period &optionTenor, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option tenor and swap length More...
 
Real blackVariance (const Date &optionDate, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option date and swap length More...
 
Real blackVariance (Time optionTime, Time swapLength, Rate strike, bool extrapolate=false) const
 returns the Black variance for a given option time and swap length More...
 
Real shift (const Period &optionTenor, const Period &swapTenor, bool extrapolate=false) const
 returns the shift for a given option tenor and swap tenor More...
 
Real shift (const Date &optionDate, const Period &swapTenor, bool extrapolate=false) const
 returns the shift for a given option date and swap tenor More...
 
Real shift (Time optionTime, const Period &swapTenor, bool extrapolate=false) const
 returns the shift for a given option time and swap tenor More...
 
Real shift (const Period &optionTenor, Time swapLength, bool extrapolate=false) const
 returns the shift for a given option tenor and swap length More...
 
Real shift (const Date &optionDate, Time swapLength, bool extrapolate=false) const
 returns the shift for a given option date and swap length More...
 
Real shift (Time optionTime, Time swapLength, bool extrapolate=false) const
 returns the shift for a given option time and swap length More...
 
ext::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option tenor and swap tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option date and swap tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (Time optionTime, const Period &swapTenor, bool extr=false) const
 returns the smile for a given option time and swap tenor More...
 
ext::shared_ptr< SmileSectionsmileSection (const Period &optionTenor, Time swapLength, bool extr=false) const
 returns the smile for a given option tenor and swap length More...
 
ext::shared_ptr< SmileSectionsmileSection (const Date &optionDate, Time swapLength, bool extr=false) const
 returns the smile for a given option date and swap length More...
 
ext::shared_ptr< SmileSectionsmileSection (Time optionTime, Time swapLength, bool extr=false) const
 returns the smile for a given option time and swap length More...
 
Time maxSwapLength () const
 the largest swapLength for which the term structure can return vols More...
 
Time swapLength (const Period &swapTenor) const
 implements the conversion between swap tenor and swap (time) length More...
 
Time swapLength (const Date &start, const Date &end) const
 implements the conversion between swap dates and swap (time) length More...
 
- Public Member Functions inherited from VolatilityTermStructure
 VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 
 VolatilityTermStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 initialize with a fixed reference date More...
 
 VolatilityTermStructure (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
virtual BusinessDayConvention businessDayConvention () const
 the business day convention used in tenor to date conversion More...
 
Date optionDateFromTenor (const Period &) const
 period/date conversion More...
 
- Public Member Functions inherited from TermStructure
 TermStructure (DayCounter dc=DayCounter())
 default constructor More...
 
 TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
 initialize with a fixed reference date More...
 
 TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
 calculate the reference date based on the global evaluation date More...
 
 ~TermStructure () override=default
 
Time timeFromReference (const Date &date) const
 date/time conversion More...
 
- Public Member Functions inherited from Extrapolator
 Extrapolator ()=default
 
virtual ~Extrapolator ()=default
 
void enableExtrapolation (bool b=true)
 enable extrapolation in subsequent calls More...
 
void disableExtrapolation (bool b=true)
 disable extrapolation in subsequent calls More...
 
bool allowsExtrapolation () const
 tells whether extrapolation is enabled More...
 

Other inspectors

Cube marketVolCube_
 
Cube volCubeAtmCalibrated_
 
Cube sparseParameters_
 
Cube denseParameters_
 
std::vector< std::vector< ext::shared_ptr< SmileSection > > > sparseSmiles_
 
std::vector< std::vector< Handle< Quote > > > parametersGuessQuotes_
 
Cube parametersGuess_
 
std::vector< boolisParameterFixed_
 
bool isAtmCalibrated_
 
const ext::shared_ptr< EndCriteriaendCriteria_
 
Real maxErrorTolerance_
 
const ext::shared_ptr< OptimizationMethodoptMethod_
 
Real errorAccept_
 
const bool useMaxError_
 
const Size maxGuesses_
 
const bool backwardFlat_
 
const Real cutoffStrike_
 
VolatilityType volatilityType_
 
ext::shared_ptr< PrivateObserverprivateObserver_
 
const MatrixmarketVolCube (Size i) const
 
Matrix sparseSabrParameters () const
 
Matrix denseSabrParameters () const
 
Matrix marketVolCube () const
 
Matrix volCubeAtmCalibrated () const
 
void sabrCalibrationSection (const Cube &marketVolCube, Cube &parametersCube, const Period &swapTenor) const
 
void recalibration (Real beta, const Period &swapTenor)
 
void recalibration (const std::vector< Real > &beta, const Period &swapTenor)
 
void recalibration (const std::vector< Period > &swapLengths, const std::vector< Real > &beta, const Period &swapTenor)
 
void updateAfterRecalibration ()
 
void registerWithParametersGuess ()
 
void setParameterGuess () const
 
ext::shared_ptr< SmileSectionsmileSection (Time optionTime, Time swapLength, const Cube &sabrParametersCube) const
 
Cube sabrCalibration (const Cube &marketVolCube) const
 
void fillVolatilityCube () const
 
void createSparseSmiles () const
 
std::vector< RealspreadVolInterpolation (const Date &atmOptionDate, const Period &atmSwapTenor) const
 
Size requiredNumberOfStrikes () const override
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from SwaptionVolatilityCube
void registerWithVolatilitySpread ()
 
Volatility volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override
 
Volatility volatilityImpl (const Date &optionDate, const Period &swapTenor, Rate strike) const override
 
Real shiftImpl (Time optionTime, Time swapLength) const override
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Member Functions inherited from SwaptionVolatilityStructure
virtual ext::shared_ptr< SmileSectionsmileSectionImpl (const Date &optionDate, const Period &swapTenor) const
 
virtual Real shiftImpl (const Date &optionDate, const Period &swapTenor) const
 
void checkSwapTenor (const Period &swapTenor, bool extrapolate) const
 
void checkSwapTenor (Time swapLength, bool extrapolate) const
 
- Protected Member Functions inherited from VolatilityTermStructure
void checkStrike (Rate strike, bool extrapolate) const
 strike-range check More...
 
- Protected Member Functions inherited from TermStructure
void checkRange (const Date &d, bool extrapolate) const
 date-range check More...
 
void checkRange (Time t, bool extrapolate) const
 time-range check More...
 
- Protected Attributes inherited from SwaptionVolatilityCube
Handle< SwaptionVolatilityStructureatmVol_
 
Size nStrikes_
 
std::vector< SpreadstrikeSpreads_
 
std::vector< RatelocalStrikes_
 
std::vector< VolatilitylocalSmile_
 
std::vector< std::vector< Handle< Quote > > > volSpreads_
 
ext::shared_ptr< SwapIndexswapIndexBase_
 
ext::shared_ptr< SwapIndexshortSwapIndexBase_
 
bool vegaWeightedSmileFit_
 
- Protected Attributes inherited from SwaptionVolatilityDiscrete
Size nOptionTenors_
 
std::vector< PeriodoptionTenors_
 
std::vector< DateoptionDates_
 
std::vector< TimeoptionTimes_
 
Interpolation optionInterpolator_
 
std::vector< RealoptionDatesAsReal_
 
std::vector< TimeoptionInterpolatorTimes_
 
std::vector< RealoptionInterpolatorDatesAsReal_
 
Size nSwapTenors_
 
std::vector< PeriodswapTenors_
 
std::vector< TimeswapLengths_
 
Date cachedReferenceDate_
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 

Detailed Description

template<class Model>
class QuantLib::XabrSwaptionVolatilityCube< Model >

XABR Swaption Volatility Cube.

This class implements the XABR Swaption Volatility Cube which is a generic for different SABR, ZABR and different smile models that can be used to instantiate concrete cubes.

Definition at line 63 of file sabrswaptionvolatilitycube.hpp.

Constructor & Destructor Documentation

◆ XabrSwaptionVolatilityCube()

XabrSwaptionVolatilityCube ( const Handle< SwaptionVolatilityStructure > &  atmVolStructure,
const std::vector< Period > &  optionTenors,
const std::vector< Period > &  swapTenors,
const std::vector< Spread > &  strikeSpreads,
const std::vector< std::vector< Handle< Quote > > > &  volSpreads,
const ext::shared_ptr< SwapIndex > &  swapIndexBase,
const ext::shared_ptr< SwapIndex > &  shortSwapIndexBase,
bool  vegaWeightedSmileFit,
std::vector< std::vector< Handle< Quote > > >  parametersGuess,
std::vector< bool isParameterFixed,
bool  isAtmCalibrated,
ext::shared_ptr< EndCriteria endCriteria = ext::shared_ptr<EndCriteria>(),
Real  maxErrorTolerance = Null<Real>(),
ext::shared_ptr< OptimizationMethod optMethod = ext::shared_ptr<OptimizationMethod>(),
Real  errorAccept = Null<Real>(),
bool  useMaxError = false,
Size  maxGuesses = 50,
bool  backwardFlat = false,
Real  cutoffStrike = 0.0001 
)

Definition at line 223 of file sabrswaptionvolatilitycube.hpp.

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Member Function Documentation

◆ performCalculations()

void performCalculations ( ) const
overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 299 of file sabrswaptionvolatilitycube.hpp.

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◆ smileSectionImpl()

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

Implements SwaptionVolatilityStructure.

Definition at line 789 of file sabrswaptionvolatilitycube.hpp.

◆ marketVolCube() [1/2]

const Matrix & marketVolCube ( Size  i) const

Definition at line 148 of file sabrswaptionvolatilitycube.hpp.

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◆ sparseSabrParameters()

Matrix sparseSabrParameters

Definition at line 797 of file sabrswaptionvolatilitycube.hpp.

◆ denseSabrParameters()

Matrix denseSabrParameters

Definition at line 802 of file sabrswaptionvolatilitycube.hpp.

◆ marketVolCube() [2/2]

Matrix marketVolCube

Definition at line 807 of file sabrswaptionvolatilitycube.hpp.

◆ volCubeAtmCalibrated()

Matrix volCubeAtmCalibrated

Definition at line 812 of file sabrswaptionvolatilitycube.hpp.

◆ sabrCalibrationSection()

void sabrCalibrationSection ( const Cube marketVolCube,
Cube parametersCube,
const Period swapTenor 
) const

Definition at line 460 of file sabrswaptionvolatilitycube.hpp.

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◆ recalibration() [1/3]

void recalibration ( Real  beta,
const Period swapTenor 
)

Definition at line 817 of file sabrswaptionvolatilitycube.hpp.

◆ recalibration() [2/3]

void recalibration ( const std::vector< Real > &  beta,
const Period swapTenor 
)

Definition at line 825 of file sabrswaptionvolatilitycube.hpp.

◆ recalibration() [3/3]

void recalibration ( const std::vector< Period > &  swapLengths,
const std::vector< Real > &  beta,
const Period swapTenor 
)

Definition at line 858 of file sabrswaptionvolatilitycube.hpp.

◆ updateAfterRecalibration()

void updateAfterRecalibration

Definition at line 334 of file sabrswaptionvolatilitycube.hpp.

◆ registerWithParametersGuess()

void registerWithParametersGuess
protected

Definition at line 274 of file sabrswaptionvolatilitycube.hpp.

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◆ setParameterGuess()

void setParameterGuess
protected

Definition at line 282 of file sabrswaptionvolatilitycube.hpp.

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◆ smileSection()

ext::shared_ptr< SmileSection > smileSection ( Time  optionTime,
Time  swapLength,
const Cube sabrParametersCube 
) const
protected

Definition at line 777 of file sabrswaptionvolatilitycube.hpp.

◆ sabrCalibration()

XabrSwaptionVolatilityCube< Model >::Cube sabrCalibration ( const Cube marketVolCube) const
protected

Definition at line 346 of file sabrswaptionvolatilitycube.hpp.

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◆ fillVolatilityCube()

void fillVolatilityCube
protected

Definition at line 562 of file sabrswaptionvolatilitycube.hpp.

◆ createSparseSmiles()

void createSparseSmiles
protected

Definition at line 635 of file sabrswaptionvolatilitycube.hpp.

◆ spreadVolInterpolation()

std::vector< Real > spreadVolInterpolation ( const Date atmOptionDate,
const Period atmSwapTenor 
) const
protected

Definition at line 653 of file sabrswaptionvolatilitycube.hpp.

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◆ requiredNumberOfStrikes()

Size requiredNumberOfStrikes ( ) const
overrideprivatevirtual

Reimplemented from SwaptionVolatilityCube.

Definition at line 180 of file sabrswaptionvolatilitycube.hpp.

Member Data Documentation

◆ marketVolCube_

Cube marketVolCube_
mutableprivate

Definition at line 181 of file sabrswaptionvolatilitycube.hpp.

◆ volCubeAtmCalibrated_

Cube volCubeAtmCalibrated_
mutableprivate

Definition at line 182 of file sabrswaptionvolatilitycube.hpp.

◆ sparseParameters_

Cube sparseParameters_
mutableprivate

Definition at line 183 of file sabrswaptionvolatilitycube.hpp.

◆ denseParameters_

Cube denseParameters_
mutableprivate

Definition at line 184 of file sabrswaptionvolatilitycube.hpp.

◆ sparseSmiles_

std::vector< std::vector<ext::shared_ptr<SmileSection> > > sparseSmiles_
mutableprivate

Definition at line 186 of file sabrswaptionvolatilitycube.hpp.

◆ parametersGuessQuotes_

std::vector<std::vector<Handle<Quote> > > parametersGuessQuotes_
private

Definition at line 187 of file sabrswaptionvolatilitycube.hpp.

◆ parametersGuess_

Cube parametersGuess_
mutableprivate

Definition at line 188 of file sabrswaptionvolatilitycube.hpp.

◆ isParameterFixed_

std::vector<bool> isParameterFixed_
private

Definition at line 189 of file sabrswaptionvolatilitycube.hpp.

◆ isAtmCalibrated_

bool isAtmCalibrated_
private

Definition at line 190 of file sabrswaptionvolatilitycube.hpp.

◆ endCriteria_

const ext::shared_ptr<EndCriteria> endCriteria_
private

Definition at line 191 of file sabrswaptionvolatilitycube.hpp.

◆ maxErrorTolerance_

Real maxErrorTolerance_
private

Definition at line 192 of file sabrswaptionvolatilitycube.hpp.

◆ optMethod_

const ext::shared_ptr<OptimizationMethod> optMethod_
private

Definition at line 193 of file sabrswaptionvolatilitycube.hpp.

◆ errorAccept_

Real errorAccept_
private

Definition at line 194 of file sabrswaptionvolatilitycube.hpp.

◆ useMaxError_

const bool useMaxError_
private

Definition at line 195 of file sabrswaptionvolatilitycube.hpp.

◆ maxGuesses_

const Size maxGuesses_
private

Definition at line 196 of file sabrswaptionvolatilitycube.hpp.

◆ backwardFlat_

const bool backwardFlat_
private

Definition at line 197 of file sabrswaptionvolatilitycube.hpp.

◆ cutoffStrike_

const Real cutoffStrike_
private

Definition at line 198 of file sabrswaptionvolatilitycube.hpp.

◆ volatilityType_

VolatilityType volatilityType_
private

Definition at line 199 of file sabrswaptionvolatilitycube.hpp.

◆ privateObserver_

ext::shared_ptr<PrivateObserver> privateObserver_
private

Definition at line 214 of file sabrswaptionvolatilitycube.hpp.