SwaptionVolatilityConstantSpread Class Reference

Swaption cube that combines an ATM matrix and vol spreads from a cube. More...

#include <qle/termstructures/swaptionvolconstantspread.hpp>

Inheritance diagram for SwaptionVolatilityConstantSpread:

Public Member Functions
	SwaptionVolatilityConstantSpread (const Handle< SwaptionVolatilityStructure > &atm, const Handle< SwaptionVolatilityStructure > &cube)
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

Observer interface
void	deepUpdate () override
const Handle< SwaptionVolatilityStructure > &	atmVol ()
const Handle< SwaptionVolatilityStructure > &	cube ()
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override

Detailed Description

Swaption cube that combines an ATM matrix and vol spreads from a cube.

Notice that the TS has a floating reference date and accesses the source TS only via their time-based volatility methods.

Warning

the given atm vol structure should be strike independent, this is not checked

the given cube must provide smile sections that provide an ATM level