QuantLibAddin::SwaptionVolCube1 Class Reference

#include <qlo/swaptionvolstructure.hpp>

Inheritance diagram for QuantLibAddin::SwaptionVolCube1:

Collaboration diagram for QuantLibAddin::SwaptionVolCube1:

Public Member Functions
	SwaptionVolCube1 (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const QuantLib::Handle< QuantLib::SwaptionVolatilityStructure > &atmVol, const std::vector< QuantLib::Period > &optionTenors, const std::vector< QuantLib::Period > &swapTenors, const std::vector< QuantLib::Spread > &strikeSpreads, const std::vector< std::vector< QuantLib::Handle< QuantLib::Quote > > > &volSpreads, const boost::shared_ptr< QuantLib::SwapIndex > &swapIndexBase, const boost::shared_ptr< QuantLib::SwapIndex > &shortSwapIndexBase, bool vegaWeightedSmileFit, const std::vector< std::vector< QuantLib::Handle< QuantLib::Quote > > > &parametersGuess, const std::vector< bool > &isParameterFixed, bool isAtmCalibrated, const boost::shared_ptr< QuantLib::EndCriteria > &endCriteria, QuantLib::Real maxErrorTolerance, const boost::shared_ptr< QuantLib::OptimizationMethod > &optMethod, bool permanent)
std::vector< std::vector< ObjectHandler::property_t > >	getSparseSabrParameters ()
std::vector< std::vector< ObjectHandler::property_t > >	getDenseSabrParameters ()
std::vector< std::vector< ObjectHandler::property_t > >	getMarketVolCube ()
std::vector< std::vector< ObjectHandler::property_t > >	getVolCubeAtmCalibrated ()

Constructor & Destructor Documentation

SwaptionVolCube1()

QuantLibAddin::SwaptionVolCube1::SwaptionVolCube1	(	const boost::shared_ptr< ObjectHandler::ValueObject > &	properties,
		const QuantLib::Handle< QuantLib::SwaptionVolatilityStructure > &	atmVol,
		const std::vector< QuantLib::Period > &	optionTenors,
		const std::vector< QuantLib::Period > &	swapTenors,
		const std::vector< QuantLib::Spread > &	strikeSpreads,
		const std::vector< std::vector< QuantLib::Handle< QuantLib::Quote > > > &	volSpreads,
		const boost::shared_ptr< QuantLib::SwapIndex > &	swapIndexBase,
		const boost::shared_ptr< QuantLib::SwapIndex > &	shortSwapIndexBase,
		bool	vegaWeightedSmileFit,
		const std::vector< std::vector< QuantLib::Handle< QuantLib::Quote > > > &	parametersGuess,
		const std::vector< bool > &	isParameterFixed,
		bool	isAtmCalibrated,
		const boost::shared_ptr< QuantLib::EndCriteria > &	endCriteria,
		QuantLib::Real	maxErrorTolerance,
		const boost::shared_ptr< QuantLib::OptimizationMethod > &	optMethod,
		bool	permanent
	)

Member Function Documentation

getDenseSabrParameters()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::SwaptionVolCube1::getDenseSabrParameters

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getMarketVolCube()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::SwaptionVolCube1::getMarketVolCube

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getSparseSabrParameters()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::SwaptionVolCube1::getSparseSabrParameters

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getVolCubeAtmCalibrated()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::SwaptionVolCube1::getVolCubeAtmCalibrated

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The documentation for this class was generated from the following file:

• swaptionvolstructure.hpp