QuantLibAddin::SwaptionVolatilityMatrix Class Reference

#include <qlo/swaptionvolstructure.hpp>

Inheritance diagram for QuantLibAddin::SwaptionVolatilityMatrix:

Collaboration diagram for QuantLibAddin::SwaptionVolatilityMatrix:

Public Member Functions
	SwaptionVolatilityMatrix (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const QuantLib::Calendar &calendar, const QuantLib::BusinessDayConvention bdc, const std::vector< QuantLib::Period > &optionTenors, const std::vector< QuantLib::Period > &tenors, const std::vector< std::vector< QuantLib::Handle< QuantLib::Quote > > > &vols, const QuantLib::DayCounter &dayCounter, bool permanent)
std::vector< long >	locate (const QuantLib::Date &d, const QuantLib::Period &p)

Constructor & Destructor Documentation

SwaptionVolatilityMatrix()

QuantLibAddin::SwaptionVolatilityMatrix::SwaptionVolatilityMatrix	(	const boost::shared_ptr< ObjectHandler::ValueObject > &	properties,
		const QuantLib::Calendar &	calendar,
		const QuantLib::BusinessDayConvention	bdc,
		const std::vector< QuantLib::Period > &	optionTenors,
		const std::vector< QuantLib::Period > &	tenors,
		const std::vector< std::vector< QuantLib::Handle< QuantLib::Quote > > > &	vols,
		const QuantLib::DayCounter &	dayCounter,
		bool	permanent
	)

Member Function Documentation

locate()

std::vector<long> QuantLibAddin::SwaptionVolatilityMatrix::locate	(	const QuantLib::Date &	d,
		const QuantLib::Period &	p
	)

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

• swaptionvolstructure.hpp