SwaptionVolatilityMatrix Class Reference#include <ql/Volatilities/swaptionvolmatrix.hpp>
Inheritance diagram for SwaptionVolatilityMatrix:
[legend]List of all members.
Detailed Description
At-the-money swaption-volatility matrix.
This class provides the at-the-money volatility for a given swaption by interpolating a volatility matrix whose elements are the market volatilities of a set of swaption with given exercise date and length.
- Todo:
- either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the exercise date and length vector but an interpolation pointing to the original ones.
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Public Member Functions |
| SwaptionVolatilityMatrix (const Date &todaysDate, const std::vector< Date > &exerciseDates, const std::vector< Period > &lengths, const Matrix &volatilities, const DayCounter &dayCounter=Thirty360()) |
Date | todaysDate () const |
| returns today's date
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DayCounter | dayCounter () const |
| returns the day counter used for internal date/time conversions
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const std::vector< Date > & | exerciseDates () const |
const std::vector< Period > & | lengths () const |
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