YieldVolCurve Class Reference

Wrapper class for building Yield volatility structures. More...

#include <ored/marketdata/yieldvolcurve.hpp>

Inheritance diagram for YieldVolCurve:

Public Member Functions
Constructors
	YieldVolCurve ()
	Default constructor.
	YieldVolCurve (Date asof, YieldVolatilityCurveSpec spec, const Loader &loader, const CurveConfigurations &curveConfigs, const bool buildCalibrationInfo)
	Detailed constructor.
Public Member Functions inherited from GenericYieldVolCurve
	GenericYieldVolCurve ()
	Default constructor.
virtual	~GenericYieldVolCurve ()
	dtor
	GenericYieldVolCurve (const Date &asof, const Loader &loader, const CurveConfigurations &curveConfigs, const QuantLib::ext::shared_ptr< GenericYieldVolatilityCurveConfig > &config, const map< string, QuantLib::ext::shared_ptr< SwapIndex > > &requiredSwapIndices, const map< string, QuantLib::ext::shared_ptr< GenericYieldVolCurve > > &requiredVolCurves, const std::function< bool(const QuantLib::ext::shared_ptr< MarketDatum > &md, Period &expiry, Period &term)> &matchAtmQuote, const std::function< bool(const QuantLib::ext::shared_ptr< MarketDatum > &md, Period &expiry, Period &term, Real &strike)> &matchSmileQuote, const std::function< bool(const QuantLib::ext::shared_ptr< MarketDatum > &md, Period &term)> &matchShiftQuote, const bool buildCalibrationInfo, const std::string &name)
	Detailed constructor.
const QuantLib::ext::shared_ptr< SwaptionVolatilityStructure > &	volTermStructure ()
QuantLib::ext::shared_ptr< IrVolCalibrationInfo >	calibrationInfo () const

Inspectors
const YieldVolatilityCurveSpec &	spec () const

Detailed Description

Wrapper class for building Yield volatility structures.