XabrSwaptionVolatilityCube< Model >::Cube Class Reference

Collaboration diagram for XabrSwaptionVolatilityCube< Model >::Cube:

Public Member Functions
	Cube ()=default
	Cube (const std::vector< Date > &optionDates, const std::vector< Period > &swapTenors, const std::vector< Time > &optionTimes, const std::vector< Time > &swapLengths, Size nLayers, bool extrapolation=true, bool backwardFlat=false)
Cube &	operator= (const Cube &o)
	Cube (const Cube &)
virtual	~Cube ()=default
void	setElement (Size IndexOfLayer, Size IndexOfRow, Size IndexOfColumn, Real x)
void	setPoints (const std::vector< Matrix > &x)
void	setPoint (const Date &optionDate, const Period &swapTenor, Time optionTime, Time swapLength, const std::vector< Real > &point)
void	setLayer (Size i, const Matrix &x)
void	expandLayers (Size i, bool expandOptionTimes, Size j, bool expandSwapLengths)
const std::vector< Date > &	optionDates () const
const std::vector< Period > &	swapTenors () const
const std::vector< Time > &	optionTimes () const
const std::vector< Time > &	swapLengths () const
const std::vector< Matrix > &	points () const
std::vector< Real >	operator() (Time optionTime, Time swapLengths) const
void	updateInterpolators () const
Matrix	browse () const

Private Attributes
std::vector< Time >	optionTimes_
std::vector< Time >	swapLengths_
std::vector< Date >	optionDates_
std::vector< Period >	swapTenors_
Size	nLayers_
std::vector< Matrix >	points_
std::vector< Matrix >	transposedPoints_
bool	extrapolation_
bool	backwardFlat_
std::vector< ext::shared_ptr< Interpolation2D > >	interpolators_

Detailed Description

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

Definition at line 64 of file sabrswaptionvolatilitycube.hpp.

Constructor & Destructor Documentation

Cube() [1/3]

Cube ( )

default

Cube() [2/3]

Cube	(	const std::vector< Date > &	optionDates,
		const std::vector< Period > &	swapTenors,
		const std::vector< Time > &	optionTimes,
		const std::vector< Time > &	swapLengths,
		Size	nLayers,
		bool	extrapolation = true,
		bool	backwardFlat = false
	)

Definition at line 896 of file sabrswaptionvolatilitycube.hpp.

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Cube() [3/3]

Cube

(

const Cube &

o

)

Definition at line 940 of file sabrswaptionvolatilitycube.hpp.

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~Cube()

virtual ~Cube ( )

virtualdefault

Member Function Documentation

operator=()

XabrSwaptionVolatilityCube< Model >::Cube & operator=

(

const Cube &

o

)

Definition at line 967 of file sabrswaptionvolatilitycube.hpp.

setElement()

void setElement	(	Size	IndexOfLayer,
		Size	IndexOfRow,
		Size	IndexOfColumn,
		Real	x
	)

Definition at line 998 of file sabrswaptionvolatilitycube.hpp.

setPoints()

void setPoints

(

const std::vector< Matrix > &

x

)

Definition at line 1011 of file sabrswaptionvolatilitycube.hpp.

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setPoint()

void setPoint	(	const Date &	optionDate,
		const Period &	swapTenor,
		Time	optionTime,
		Time	swapLength,
		const std::vector< Real > &	point
	)

Definition at line 1036 of file sabrswaptionvolatilitycube.hpp.

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setLayer()

void setLayer	(	Size	i,
		const Matrix &	x
	)

Definition at line 1023 of file sabrswaptionvolatilitycube.hpp.

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expandLayers()

void expandLayers	(	Size	i,
		bool	expandOptionTimes,
		Size	j,
		bool	expandSwapLengths
	)

Definition at line 1071 of file sabrswaptionvolatilitycube.hpp.

optionDates()

const std::vector< Date > & optionDates

(

)

const

Definition at line 93 of file sabrswaptionvolatilitycube.hpp.

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swapTenors()

const std::vector< Period > & swapTenors

(

)

const

Definition at line 96 of file sabrswaptionvolatilitycube.hpp.

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optionTimes()

const std::vector< Time > & optionTimes

Definition at line 1116 of file sabrswaptionvolatilitycube.hpp.

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swapLengths()

const std::vector< Time > & swapLengths

Definition at line 1121 of file sabrswaptionvolatilitycube.hpp.

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points()

const std::vector< Matrix > & points

Definition at line 1103 of file sabrswaptionvolatilitycube.hpp.

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operator()()

std::vector< Real > operator()	(	Time	optionTime,
		Time	swapLengths
	)		const

Definition at line 1107 of file sabrswaptionvolatilitycube.hpp.

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updateInterpolators()

void updateInterpolators

Definition at line 1125 of file sabrswaptionvolatilitycube.hpp.

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browse()

Matrix browse

Definition at line 1147 of file sabrswaptionvolatilitycube.hpp.

Member Data Documentation

optionTimes_

std::vector<Time> optionTimes_

private

Definition at line 106 of file sabrswaptionvolatilitycube.hpp.

swapLengths_

std::vector<Time> swapLengths_

private

Definition at line 106 of file sabrswaptionvolatilitycube.hpp.

optionDates_

std::vector<Date> optionDates_

private

Definition at line 107 of file sabrswaptionvolatilitycube.hpp.

swapTenors_

std::vector<Period> swapTenors_

private

Definition at line 108 of file sabrswaptionvolatilitycube.hpp.

nLayers_

Size nLayers_

private

Definition at line 109 of file sabrswaptionvolatilitycube.hpp.

points_

std::vector<Matrix> points_

private

Definition at line 110 of file sabrswaptionvolatilitycube.hpp.

transposedPoints_

std::vector<Matrix> transposedPoints_

mutableprivate

Definition at line 111 of file sabrswaptionvolatilitycube.hpp.

extrapolation_

bool extrapolation_

private

Definition at line 112 of file sabrswaptionvolatilitycube.hpp.

backwardFlat_

bool backwardFlat_

private

Definition at line 113 of file sabrswaptionvolatilitycube.hpp.

interpolators_

std::vector< ext::shared_ptr<Interpolation2D> > interpolators_

mutableprivate

Definition at line 114 of file sabrswaptionvolatilitycube.hpp.