CapFloorTermVolSurfaceExact Class Reference

Cap/floor smile volatility surface. More...

#include <qle/termstructures/capfloortermvolsurface.hpp>

Inheritance diagram for CapFloorTermVolSurfaceExact:

Public Types
enum	InterpolationMethod { BicubicSpline , Bilinear }

Public Member Functions
	CapFloorTermVolSurfaceExact (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed(), InterpolationMethod interpolationMethod=BicubicSpline)
	floating reference date, floating market data
	CapFloorTermVolSurfaceExact (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed(), InterpolationMethod interpolationMethod=BicubicSpline)
	fixed reference date, floating market data
	CapFloorTermVolSurfaceExact (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, const DayCounter &dc=Actual365Fixed(), InterpolationMethod interpolationMethod=BicubicSpline)
	fixed reference date, fixed market data
	CapFloorTermVolSurfaceExact (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const Matrix &volatilities, const DayCounter &dc=Actual365Fixed(), InterpolationMethod interpolationMethod=BicubicSpline)
	floating reference date, fixed market data
TermStructure interface
Date	maxDate () const override
VolatilityTermStructure interface
Real	minStrike () const override
Real	maxStrike () const override
LazyObject interface
void	update () override
void	performCalculations () const override
Public Member Functions inherited from CapFloorTermVolSurface
	CapFloorTermVolSurface (QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	default constructor
	CapFloorTermVolSurface (const QuantLib::Date &referenceDate, const QuantLib::Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	initialize with a fixed reference date
	CapFloorTermVolSurface (QuantLib::Natural settlementDays, const QuantLib::Calendar &cal, QuantLib::BusinessDayConvention bdc, const QuantLib::DayCounter &dc=QuantLib::DayCounter(), std::vector< QuantLib::Period > optionTenors={}, std::vector< QuantLib::Rate > strikes={})
	calculate the reference date based on the global evaluation date
const std::vector< QuantLib::Period > &	optionTenors () const
const std::vector< QuantLib::Rate > &	strikes () const
void	update () override
void	performCalculations () const override

some inspectors
const std::vector< Date > &	optionDates () const
const std::vector< Time > &	optionTimes () const
InterpolationMethod	interpolationMethod () const
Volatility	volatilityImpl (Time t, Rate strike) const override

Additional Inherited Members
Protected Attributes inherited from CapFloorTermVolSurface
std::vector< QuantLib::Period >	optionTenors_
std::vector< QuantLib::Rate >	strikes_

Detailed Description

Cap/floor smile volatility surface.

This class provides the volatility for a given cap/floor interpolating a volatility surface whose elements are the market term volatilities of a set of caps/floors with given length and given strike.

This is a copy of the QL CapFloorTermVolSurface but gives the option to use BiLinear instead of BiCubic Spline interpolation. Default is BiCubic Spline for backwards compatibility with QuantLib