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SwaptionVolCurve Class Reference

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

#include <ored/marketdata/swaptionvolcurve.hpp>

+ Inheritance diagram for SwaptionVolCurve:

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< IrVolCalibrationInfocalibrationInfo () const
 

Inspectors

const SwaptionVolatilityCurveSpecspec () const
 

Detailed Description

Wrapper class for building Swaption volatility structures.