Wrapper class for building Swaption volatility structures. More...
#include <ored/marketdata/swaptionvolcurve.hpp>
Public Member Functions | |
Constructors | |
SwaptionVolCurve () | |
Default constructor. | |
SwaptionVolCurve (Date asof, SwaptionVolatilityCurveSpec spec, const Loader &loader, const CurveConfigurations &curveConfigs, const map< string, boost::shared_ptr< SwapIndex >> &requiredSwapIndices={}, const map< string, boost::shared_ptr< GenericYieldVolCurve >> &requiredVolCurves={}, const bool buildCalibrationInfo=true) | |
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 boost::shared_ptr< GenericYieldVolatilityCurveConfig > &config, const map< string, boost::shared_ptr< SwapIndex >> &requiredSwapIndices, const map< string, boost::shared_ptr< GenericYieldVolCurve >> &requiredVolCurves, const std::function< bool(const boost::shared_ptr< MarketDatum > &md, Period &expiry, Period &term)> &matchAtmQuote, const std::function< bool(const boost::shared_ptr< MarketDatum > &md, Period &expiry, Period &term, Real &strike)> &matchSmileQuote, const std::function< bool(const boost::shared_ptr< MarketDatum > &md, Period &term)> &matchShiftQuote, const bool buildCalibrationInfo) | |
Detailed constructor. | |
const boost::shared_ptr< SwaptionVolatilityStructure > & | volTermStructure () |
boost::shared_ptr< IrVolCalibrationInfo > | calibrationInfo () const |
Inspectors | |
const SwaptionVolatilityCurveSpec & | spec () const |
Wrapper class for building Swaption volatility structures.