SwaptionVolCubeWithATM Class Reference

Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols. More...

#include <qle/termstructures/swaptionvolcubewithatm.hpp>

Inheritance diagram for SwaptionVolCubeWithATM:

Public Member Functions
	SwaptionVolCubeWithATM (const QuantLib::ext::shared_ptr< SwaptionVolatilityCube > &cube, const bool useAtmSubStructure=true)
TermStructure interface
DayCounter	dayCounter () const override
Date	maxDate () const override
Time	maxTime () const override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
VolatilityTermStructure interface
Rate	minStrike () const override
Rate	maxStrike () const override

SwaptionVolatilityStructure interface
const Period &	maxSwapTenor () const override
VolatilityType	volatilityType () const override
QuantLib::ext::shared_ptr< SwaptionVolatilityCube >	cube () const
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override
Real	shiftImpl (Time optionTime, Time swapLength) const override

Detailed Description

Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols.

This class implements SwaptionVolatilityStructure and takes a cube as an input. If asked for a volatility with strike=Null<Real>() it will return the ATM vol by asking the ATM surface directly. If asked for any other strike it will pass it on to the cube.

There is no calculation of ATM in this class.

Constructor & Destructor Documentation

SwaptionVolCubeWithATM()

SwaptionVolCubeWithATM	(	const QuantLib::ext::shared_ptr< SwaptionVolatilityCube > &	cube,
		const bool	useAtmSubStructure = true )

Constructor. This is a floating term structure (settlement days is zero) to match QuantLib::SwaptionVolatilityCube