24#ifndef quantlib_swaption_volatility_discrete_h
25#define quantlib_swaption_volatility_discrete_h
96 inline const std::vector<Period>&
101 inline const std::vector<Date>&
106 inline const std::vector<Time>&
111 inline const std::vector<Period>&
116 inline const std::vector<Time>&
std::int_fast32_t serial_type
serial number type
base class for 1-D interpolations.
Framework for calculation on demand and result caching.
std::vector< Date > optionDates_
void initializeSwapLengths() const
void performCalculations() const override
const std::vector< Time > & swapLengths() const
std::vector< Period > swapTenors_
std::vector< Time > swapLengths_
const std::vector< Period > & swapTenors() const
void initializeOptionTimes() const
std::vector< Real > optionDatesAsReal_
void checkSwapTenors() const
Date cachedReferenceDate_
const std::vector< Period > & optionTenors() const
const std::vector< Time > & optionTimes() const
std::vector< Time > optionTimes_
Interpolation optionInterpolator_
std::vector< Time > optionInterpolatorTimes_
void checkOptionTenors() const
const std::vector< Date > & optionDates() const
std::vector< Period > optionTenors_
std::vector< Real > optionInterpolatorDatesAsReal_
void initializeOptionDatesAndTimes() const
void checkOptionDates(const Date &reference) const
Date optionDateFromTime(Time optionTime) const
additional inspectors
Swaption-volatility structure
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
std::size_t Size
size of a container
base class for 1-D interpolations
framework for calculation on demand and result caching
Swaption volatility structure.