Swaption cube that combines an ATM matrix and vol spreads from a cube. More...

#include <qle/termstructures/swaptionvolconstantspread.hpp>

Inheritance diagram for SwaptionVolatilityConstantSpread:

Public Member Functions
	SwaptionVolatilityConstantSpread (const Handle< SwaptionVolatilityStructure > &atm, const Handle< SwaptionVolatilityStructure > &cube)

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 > &	atmVol ()

const Handle< SwaptionVolatilityStructure > &	cube ()

QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime, Time swapLength) const override

Volatility	volatilityImpl (Time optionTime, Time swapLength, Rate strike) const override

Detailed Description

Swaption cube that combines an ATM matrix and vol spreads from a cube.

Notice that the TS has a floating reference date and accesses the source TS only via their time-based volatility methods.

the given atm vol structure should be strike independent, this is not checked

the given cube must provide smile sections that provide an ATM level

Public Member Functions