SwaptionVolatilityMatrix Class Reference

#include <ql/Volatilities/swaptionvolmatrix.hpp>

Inheritance diagram for SwaptionVolatilityMatrix:

Inheritance graph
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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.


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

DayCounter dayCounter () const
 returns the day counter used for internal date/time conversions

const std::vector< Date > & exerciseDates () const
const std::vector< Period > & lengths () const


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