SwaptionVolatilityConverter Class Reference

Class that converts a supplied SwaptionVolatilityStructure to one of another type with possibly different shifts. More...

#include <qle/termstructures/swaptionvolatilityconverter.hpp>

Public Member Functions
	SwaptionVolatilityConverter (const Date &asof, const QuantLib::ext::shared_ptr< SwaptionVolatilityStructure > &svsIn, const Handle< YieldTermStructure > &discount, const Handle< YieldTermStructure > &shortDiscount, const QuantLib::ext::shared_ptr< SwapConventions > &conventions, const QuantLib::ext::shared_ptr< SwapConventions > &shortConventions, const Period &conventionsTenor, const Period &shortConventionsTenor, const VolatilityType targetType, const Matrix &targetShifts=Matrix())
	Construct from SwapConventions.
	SwaptionVolatilityConverter (const Date &asof, const QuantLib::ext::shared_ptr< SwaptionVolatilityStructure > &svsIn, const QuantLib::ext::shared_ptr< SwapIndex > &swapIndex, const QuantLib::ext::shared_ptr< SwapIndex > &shortSwapIndex, const VolatilityType targetType, const Matrix &targetShifts=Matrix())
	Construct from SwapIndex.
QuantLib::ext::shared_ptr< SwaptionVolatilityStructure >	convert () const
	Method that returns the converted SwaptionVolatilityStructure
Real	convert (const Date &expiry, const Period &swapTenor, Real strikeSpread, const DayCounter &volDayCounter, VolatilityType outType, Real outShift=0.0) const
Real &	accuracy ()
	Set implied volatility solver accuracy.
Natural &	maxEvaluations ()
	Set implied volatility solver max evaluations.

Detailed Description

Class that converts a supplied SwaptionVolatilityStructure to one of another type with possibly different shifts.

Warning:

the converted SwaptionVolatilityStructure object has a fixed reference date equal to asof and fixed market data regardless of the type of reference date and market data of the original SwaptionVolatilityStructure that is passed in