26#ifndef quantlib_spreaded_swaption_volstructure_h
27#define quantlib_spreaded_swaption_volstructure_h
64 const Period& swapTenor)
const override;
114 Time swapLength)
const {
Shared handle to an observable.
const Handle< Quote > spread_
Calendar calendar() const override
the calendar used for reference and/or option date calculation
Rate maxStrike() const override
the maximum strike for which the term structure can return vols
Rate minStrike() const override
the minimum strike for which the term structure can return vols
const Date & referenceDate() const override
the date at which discount = 1.0 and/or variance = 0.0
Real shiftImpl(Time optionTime, Time swapLength) const override
Volatility volatilityImpl(const Date &optionDate, const Period &swapTenor, Rate strike) const override
VolatilityType volatilityType() const override
volatility type
Natural settlementDays() const override
the settlementDays used for reference date calculation
DayCounter dayCounter() const override
the day counter used for date/time conversion
Date maxDate() const override
the latest date for which the curve can return values
ext::shared_ptr< SmileSection > smileSectionImpl(const Date &optionDate, const Period &swapTenor) const override
const Handle< SwaptionVolatilityStructure > baseVol_
const Period & maxSwapTenor() const override
the largest length for which the term structure can return vols
Time maxTime() const override
the latest time for which the curve can return values
Swaption-volatility structure
Time swapLength(const Period &swapTenor) const
implements the conversion between swap tenor and swap (time) length
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility
Swaption volatility structure.