Public Member Functions | |
SpreadedSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &base, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Real > &strikeSpreads, const std::vector< std::vector< Handle< Quote >>> &volSpreads, const boost::shared_ptr< SwapIndex > &baseSwapIndexBase=nullptr, const boost::shared_ptr< SwapIndex > &baseShortSwapIndexBase=nullptr, const boost::shared_ptr< SwapIndex > &simulatedSwapIndexBase=nullptr, const boost::shared_ptr< SwapIndex > &simulatedShortSwapIndexBase=nullptr, const bool stickyAbsMoney=false) | |
TermStructure interface | |
DayCounter | dayCounter () const override |
Date | maxDate () const override |
Time | maxTime () const override |
const Date & | referenceDate () const override |
Calendar | calendar () const override |
Natural | settlementDays () const override |
VolatilityTermStructure interface | |
Rate | minStrike () const override |
Rate | maxStrike () const override |
SwaptionVolatilityStructure interface | |
const Period & | maxSwapTenor () const override |
VolatilityType | volatilityType () const override |
Observer interface | |
void | deepUpdate () override |
const Handle< SwaptionVolatilityStructure > & | baseVol () |