CapFloorTermVolSurfaceSparse< InterpolatorStrike, InterpolatorExpiry > Class Template Reference

Cap/floor smile volatility surface sparse. More...

#include <qle/termstructures/capfloortermvolsurfacesparse.hpp>

Inheritance diagram for CapFloorTermVolSurfaceSparse< InterpolatorStrike, InterpolatorExpiry >:

Public Member Functions
	CapFloorTermVolSurfaceSparse (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Volatility > &volatilities, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false)
	fixed reference date, fixed market data
	CapFloorTermVolSurfaceSparse (QuantLib::Natural settlementDays, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention &bdc, const QuantLib::DayCounter &dc, const std::vector< QuantLib::Period > &tenors, const std::vector< QuantLib::Real > &strikes, const std::vector< QuantLib::Volatility > &volatilities, bool lowerStrikeConstExtrap=true, bool upperStrikeConstExtrap=true, bool timeFlatExtrapolation=false)
	floating reference date, fixed market data
TermStructure interface
QuantLib::Date	maxDate () const override
VolatilityTermStructure interface
QuantLib::Real	minStrike () const override
QuantLib::Real	maxStrike () 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

LazyObject interface
void	performCalculations () const override
QuantLib::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

template<class InterpolatorStrike, class InterpolatorExpiry>
class QuantExt::CapFloorTermVolSurfaceSparse< InterpolatorStrike, InterpolatorExpiry >

Cap/floor smile volatility surface sparse.

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.