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 boost::shared_ptr< SwaptionVolatilityStructure > &svsIn, const Handle< YieldTermStructure > &discount, const Handle< YieldTermStructure > &shortDiscount, const boost::shared_ptr< SwapConventions > &conventions, const boost::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 boost::shared_ptr< SwaptionVolatilityStructure > &svsIn, const boost::shared_ptr< SwapIndex > &swapIndex, const boost::shared_ptr< SwapIndex > &shortSwapIndex, const VolatilityType targetType, const Matrix &targetShifts=Matrix()) | |
Construct from SwapIndex. | |
boost::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. | |
Class that converts a supplied SwaptionVolatilityStructure to one of another type with possibly different shifts.
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