Public Member Functions | List of all members
QuantLibAddin::SwaptionVolCube2 Class Reference

#include <qlo/swaptionvolstructure.hpp>

Inheritance diagram for QuantLibAddin::SwaptionVolCube2:
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Public Member Functions

 SwaptionVolCube2 (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, bool permanent)
 

Constructor & Destructor Documentation

◆ SwaptionVolCube2()

QuantLibAddin::SwaptionVolCube2::SwaptionVolCube2 ( 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,
bool  permanent 
)
The documentation for this class was generated from the following file: