DynamicSwaptionVolatilityMatrix Class Reference

Takes a SwaptionVolatilityMatrix with fixed reference date and turns it into a floating reference date term. More...

#include <qle/termstructures/dynamicswaptionvolmatrix.hpp>

Inheritance diagram for DynamicSwaptionVolatilityMatrix:

Public Member Functions
	DynamicSwaptionVolatilityMatrix (const boost::shared_ptr< SwaptionVolatilityStructure > &source, Natural settlementDays, const Calendar &calendar, ReactionToTimeDecay decayMode=ConstantVariance)

Protected Member Functions
const Period &	maxSwapTenor () const override
boost::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override
Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override
Real	shiftImpl (Time optionTime, Time swapLength) const override
Real	minStrike () const override
Real	maxStrike () const override
Date	maxDate () const override
void	update () override
VolatilityType	volatilityType () const override

Detailed Description

Takes a SwaptionVolatilityMatrix with fixed reference date and turns it into a floating reference date term.

This class takes a SwaptionVolatilityMatrix with fixed reference date and turns it into a floating reference date term structure. There are different ways of reacting to time decay that can be specified.

Warning:

the vols from the source ts are read using strike null (indicating atm)