SwaptionSabrCube Class Reference

Inheritance diagram for SwaptionSabrCube:

Public Member Functions
	SwaptionSabrCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Period > &atmOptionTenors, const std::vector< Period > &atmSwapLengths, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const QuantLib::ext::shared_ptr< SwapIndex > &swapIndexBase, const QuantLib::ext::shared_ptr< SwapIndex > &shortSwapIndexBase, const QuantExt::SabrParametricVolatility::ModelVariant modelVariant, const QuantLib::ext::optional< QuantLib::VolatilityType > outputVolatilityType=QuantLib::ext::nullopt, const std::map< std::pair< Period, Period >, std::vector< std::pair< Real, ParametricVolatility::ParameterCalibration > > > &initialModelParameters={}, const std::vector< Real > &outputShift={}, const std::vector< Real > &modelShift={}, const QuantLib::Size maxCalibrationAttempts=10, const QuantLib::Real exitEarlyErrorThreshold=0.005, const QuantLib::Real maxAcceptableError=0.05)
void	performCalculations () const override
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override
QuantLib::ext::shared_ptr< ParametricVolatility >	parametricVolatility () const
VolatilityType	volatilityType () const override