SwaptionVolCube2 Class Reference

Inheritance diagram for SwaptionVolCube2:

Public Member Functions
	SwaptionVolCube2 (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::shared_ptr< SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit, bool flatExtrapolation, bool volsAreSpreads=true)
LazyObject interface
void	performCalculations () const override

SwaptionVolatilityCube inspectors
const Matrix &	volSpreads (Size i) const
boost::shared_ptr< SmileSection >	smileSectionImpl (const Date &optionDate, const Period &swapTenor) const override
boost::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override

Constructor & Destructor Documentation

SwaptionVolCube2()

SwaptionVolCube2	(	const Handle< SwaptionVolatilityStructure > &	atmVolStructure,
		const std::vector< Period > &	optionTenors,
		const std::vector< Period > &	swapTenors,
		const std::vector< Spread > &	strikeSpreads,
		const std::vector< std::vector< Handle< Quote > > > &	volSpreads,
		const boost::shared_ptr< SwapIndex > &	swapIndexBase,
		const boost::shared_ptr< SwapIndex > &	shortSwapIndexBase,
		bool	vegaWeightedSmileFit,
		bool	flatExtrapolation,
		bool	volsAreSpreads = true
	)

The swaption vol cube is made up of ordered swaption vol surface layers, each layer referring to a swap index of a given length (in years), all indexes belonging to the same family. In order to identify the family (and its market conventions) an index of whatever length from that family must be passed in as swapIndexBase.

Often for short swap length the swap index family is different, e.g. the EUR case: swap vs 6M Euribor is used for length>1Y, while swap vs 3M Euribor is used for the 1Y length. The shortSwapIndexBase is used to identify this second family.

If flatExtrapolation is true the implied volatility is extrapolated flat in strike direction.

in case volsAreSpreads is false the given volSpreads are interpreted as absolute vols, in this case the volSpreads inspectors also return absolute vols