|
| 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) |
|
|
void | performCalculations () const override |
|
|
ext::shared_ptr< SmileSection > | smileSectionImpl (Time optionTime, Time swapLength) const override |
|
| 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 Date & | referenceDate () 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 Period & | maxSwapTenor () 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< SwaptionVolatilityStructure > | atmVol () const |
|
const std::vector< Spread > & | strikeSpreads () const |
|
const std::vector< std::vector< Handle< Quote > > > & | volSpreads () const |
|
ext::shared_ptr< SwapIndex > | swapIndexBase () const |
|
ext::shared_ptr< SwapIndex > | shortSwapIndexBase () const |
|
bool | vegaWeightedSmileFit () const |
|
void | performCalculations () const override |
|
VolatilityType | volatilityType () const override |
| volatility type More...
|
|
| 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...
|
|
| LazyObject () |
|
| ~LazyObject () override=default |
|
bool | isCalculated () const |
|
void | forwardFirstNotificationOnly () |
|
void | alwaysForwardNotifications () |
|
void | recalculate () |
|
void | freeze () |
|
void | unfreeze () |
|
| Observable () |
|
| Observable (const Observable &) |
|
Observable & | operator= (const Observable &) |
|
| Observable (Observable &&)=delete |
|
Observable & | operator= (Observable &&)=delete |
|
virtual | ~Observable ()=default |
|
void | notifyObservers () |
|
| Observer ()=default |
|
| Observer (const Observer &) |
|
Observer & | operator= (const Observer &) |
|
virtual | ~Observer () |
|
std::pair< iterator, bool > | registerWith (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 () |
|
| 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< SmileSection > | smileSection (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< SmileSection > | smileSection (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< SmileSection > | smileSection (Time optionTime, const Period &swapTenor, bool extr=false) const |
| returns the smile for a given option time and swap tenor More...
|
|
ext::shared_ptr< SmileSection > | smileSection (const Period &optionTenor, Time swapLength, bool extr=false) const |
| returns the smile for a given option tenor and swap length More...
|
|
ext::shared_ptr< SmileSection > | smileSection (const Date &optionDate, Time swapLength, bool extr=false) const |
| returns the smile for a given option date and swap length More...
|
|
ext::shared_ptr< SmileSection > | smileSection (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...
|
|
| 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...
|
|
| 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...
|
|
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.