38 maxSwapTenor_(100 *
Years), volatilityType_(type), shift_(shift) {
51 maxSwapTenor_(100 *
Years), volatilityType_(type), shift_(shift) {
66 maxSwapTenor_(100*
Years), volatilityType_(type), shift_(shift) {}
70 const Date& referenceDate,
79 maxSwapTenor_(100*
Years), volatilityType_(type), shift_(shift) {}
81 ext::shared_ptr<SmileSection>
85 return ext::shared_ptr<SmileSection>(
90 ext::shared_ptr<SmileSection>
94 return ext::shared_ptr<SmileSection>(
Handle< Quote > volatility_
ConstantSwaptionVolatility(Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, Handle< Quote > volatility, const DayCounter &dc, VolatilityType type=ShiftedLognormal, Real shift=0.0)
floating reference date, floating market data
ext::shared_ptr< SmileSection > smileSectionImpl(const Date &, const Period &) const override
Volatility volatilityImpl(const Date &, const Period &, Rate) const override
VolatilityType volatilityType_
Shared handle to an observable.
template class providing a null value for a given type.
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
purely virtual base class for market observables
market element returning a stored value
Swaption-volatility structure
virtual const Date & referenceDate() const
the date at which discount = 1.0 and/or variance = 0.0
virtual DayCounter dayCounter() const
the day counter used for date/time conversion
BusinessDayConvention
Business Day conventions.
Real Time
continuous quantity with 1-year units
unsigned QL_INTEGER Natural
positive integer
Real Volatility
volatility
Constant swaption volatility.