SpreadedSwaptionVolatility Class Reference

Inheritance diagram for SpreadedSwaptionVolatility:

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 QuantLib::ext::shared_ptr< SwapIndex > &baseSwapIndexBase=nullptr, const QuantLib::ext::shared_ptr< SwapIndex > &baseShortSwapIndexBase=nullptr, const QuantLib::ext::shared_ptr< SwapIndex > &simulatedSwapIndexBase=nullptr, const QuantLib::ext::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 ()