Class VolatilityCube

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

A volatility cube of interest-rate volatility surfaces and abcd at-the-money curves on one reference date.

[Experimental("NQL0001")]
public sealed class VolatilityCube

Inheritance

object

VolatilityCube

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable. QuantLib's minIndexTenor() and maxIndexTenor() are declared and never defined, so they aren't ported.

Constructors

VolatilityCube(IEnumerable<InterestRateVolSurface>, IEnumerable<AbcdAtmVolCurve>)

Initializes a new instance of the VolatilityCube class.

public VolatilityCube(IEnumerable<InterestRateVolSurface> surfaces, IEnumerable<AbcdAtmVolCurve> curves)

Parameters

surfaces IEnumerable<InterestRateVolSurface>

The surfaces, at least two.

curves IEnumerable<AbcdAtmVolCurve>

The at-the-money curves.

Exceptions

ArgumentNullException

An argument or an element is null.

NanoQLException

There are fewer than two surfaces ("at least 2 surfaces are needed"), or the reference dates differ ("different reference dates").

Properties

Curves

Gets the at-the-money curves.

public ImmutableArray<AbcdAtmVolCurve> Curves { get; }

Property Value

ImmutableArray<AbcdAtmVolCurve>

Surfaces

Gets the surfaces.

public ImmutableArray<InterestRateVolSurface> Surfaces { get; }

Property Value

ImmutableArray<InterestRateVolSurface>