Class SwaptionVolatilityStructure

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

The base class of swaption volatility structures: volatilities by option date and swap tenor.

public abstract class SwaptionVolatilityStructure : VolatilityTermStructure

Inheritance

object

Extrapolator

TermStructure

VolatilityTermStructure

SwaptionVolatilityStructure

Derived

TenorSwaptionVTS

ConstantSwaptionVolatility

Gaussian1dSwaptionVolatility

SpreadedSwaptionVolatility

SwaptionVolatilityDiscrete

Inherited Members

VolatilityTermStructure.OptionDateFromTenor(Period)

VolatilityTermStructure.MinStrike()

VolatilityTermStructure.MaxStrike()

VolatilityTermStructure.CheckStrike(double, bool)

VolatilityTermStructure.BusinessDayConvention

TermStructure.TimeFromReference(Date)

TermStructure.CheckRange(Date, bool)

TermStructure.CheckRange(double, bool)

TermStructure.ReferenceDate

TermStructure.DayCounter

TermStructure.Calendar

TermStructure.SettlementDays

TermStructure.MaxDate

TermStructure.MaxTime

Extrapolator.AllowsExtrapolation

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

ExtrapolatorExtensions.DisableExtrapolation<T>(T, bool)

ExtrapolatorExtensions.EnableExtrapolation<T>(T, bool)

Remarks

An option is given by its tenor from the reference date, its date or its time, and the swap by its tenor or its length in years, so each query has QuantLib's six overloads. A tenor's option date is the reference date advanced on the structure's calendar; a swap tenor's length is SwapLength(Period).

The smile sections pass the extrapolate flag as QuantLib does: those by an option time and a swap tenor, and by an option tenor or date and a swap length, check the query with the flag and then call the overload by option time or date and swap length without it, which checks the query again without extrapolating.

Constructors

SwaptionVolatilityStructure(Date, Calendar?, BusinessDayConvention, DayCounter, int?)

Initializes a new instance of the SwaptionVolatilityStructure class.

protected SwaptionVolatilityStructure(Date referenceDate, Calendar? calendar, BusinessDayConvention bdc, DayCounter dc, int? settlementDays = null)

Parameters

referenceDate Date

The reference date.

calendar Calendar

The calendar of the option dates, or null, QuantLib's empty calendar.

bdc BusinessDayConvention

The convention adjusting option dates computed from tenors.

dc DayCounter

The day counter.

settlementDays int?

The settlement days the reference date was calculated with, if any.

Properties

MaxSwapTenor

Gets the largest swap tenor for which the structure returns volatilities.

public abstract Period MaxSwapTenor { get; }

Property Value

Period

VolatilityType

Gets the type of the volatilities the structure returns; by default shifted lognormal.

public virtual VolatilityType VolatilityType { get; }

Property Value

VolatilityType

Methods

BlackVariance(Date, Period, double, bool)

The Black variance for an option date, a swap tenor and a strike: the volatility squared times the time.

public double BlackVariance(Date optionDate, Period swapTenor, double strike, bool extrapolate = false)

Parameters

optionDate Date

The option date.

swapTenor Period

The swap tenor.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The variance.

BlackVariance(Date, double, double, bool)

The Black variance for an option date, a swap length and a strike: the volatility squared times the time.

public double BlackVariance(Date optionDate, double swapLength, double strike, bool extrapolate = false)

Parameters

optionDate Date

The option date.

swapLength double

The swap length, in years.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The variance.

BlackVariance(Period, Period, double, bool)

The Black variance for an option tenor, a swap tenor and a strike.

public double BlackVariance(Period optionTenor, Period swapTenor, double strike, bool extrapolate = false)

Parameters

optionTenor Period

The option tenor, from the reference date.

swapTenor Period

The swap tenor.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The variance.

BlackVariance(Period, double, double, bool)

The Black variance for an option tenor, a swap length and a strike.

public double BlackVariance(Period optionTenor, double swapLength, double strike, bool extrapolate = false)

Parameters

optionTenor Period

The option tenor, from the reference date.

swapLength double

The swap length, in years.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The variance.

BlackVariance(double, Period, double, bool)

The Black variance for an option time, a swap tenor and a strike: the volatility squared times the time.

public double BlackVariance(double optionTime, Period swapTenor, double strike, bool extrapolate = false)

Parameters

optionTime double

The option time, from the reference date.

swapTenor Period

The swap tenor.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The variance.

BlackVariance(double, double, double, bool)

The Black variance for an option time, a swap length and a strike: the volatility squared times the time.

public double BlackVariance(double optionTime, double swapLength, double strike, bool extrapolate = false)

Parameters

optionTime double

The option time, from the reference date.

swapLength double

The swap length, in years.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The variance.

CheckSwapTenor(Period, bool)

Checks that a swap tenor is positive and in the structure's range, or that extrapolation is allowed.

protected void CheckSwapTenor(Period swapTenor, bool extrapolate)

Parameters

swapTenor Period

The swap tenor.

extrapolate bool

Whether this call extrapolates.

Exceptions

NanoQLException

The tenor isn't positive or is past the maximum swap tenor.

CheckSwapTenor(double, bool)

Checks that a swap length is positive and in the structure's range, or that extrapolation is allowed.

protected void CheckSwapTenor(double swapLength, bool extrapolate)

Parameters

swapLength double

The swap length, in years.

extrapolate bool

Whether this call extrapolates.

Exceptions

NanoQLException

The length isn't positive or is past the maximum swap length.

MaxSwapLength()

The largest swap length for which the structure returns volatilities: the length of MaxSwapTenor.

public double MaxSwapLength()

Returns

double

The length, in years.

Exceptions

ArgumentException

The maximum swap tenor has no swap length (SwapLength(Period)).

Shift(Date, Period, bool)

The shift for an option date and a swap tenor.

public double Shift(Date optionDate, Period swapTenor, bool extrapolate = false)

Parameters

optionDate Date

The option date.

swapTenor Period

The swap tenor.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The shift.

Exceptions

NanoQLException

The swap tenor or the date is outside the structure's domain.

Shift(Date, double, bool)

The shift for an option date and a swap length.

public double Shift(Date optionDate, double swapLength, bool extrapolate = false)

Parameters

optionDate Date

The option date.

swapLength double

The swap length, in years.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The shift.

Exceptions

NanoQLException

The swap length or the date is outside the structure's domain.

Shift(Period, Period, bool)

The shift for an option tenor and a swap tenor.

public double Shift(Period optionTenor, Period swapTenor, bool extrapolate = false)

Parameters

optionTenor Period

The option tenor, from the reference date.

swapTenor Period

The swap tenor.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The shift.

Shift(Period, double, bool)

The shift for an option tenor and a swap length.

public double Shift(Period optionTenor, double swapLength, bool extrapolate = false)

Parameters

optionTenor Period

The option tenor, from the reference date.

swapLength double

The swap length, in years.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The shift.

Shift(double, Period, bool)

The shift for an option time and a swap tenor.

public double Shift(double optionTime, Period swapTenor, bool extrapolate = false)

Parameters

optionTime double

The option time, from the reference date.

swapTenor Period

The swap tenor.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The shift.

Exceptions

NanoQLException

The swap tenor or the time is outside the structure's domain.

Shift(double, double, bool)

The shift for an option time and a swap length.

public double Shift(double optionTime, double swapLength, bool extrapolate = false)

Parameters

optionTime double

The option time, from the reference date.

swapLength double

The swap length, in years.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The shift.

Exceptions

NanoQLException

The swap length or the time is outside the structure's domain.

ShiftImpl(Date, Period)

The shift for an option date and a swap tenor, without range checks; by default the one for the date's time and the tenor's swap length.

protected virtual double ShiftImpl(Date optionDate, Period swapTenor)

Parameters

optionDate Date

The option date.

swapTenor Period

The swap tenor.

Returns

double

The shift.

ShiftImpl(double, double)

The shift for an option time and a swap length, without range checks; by default 0, for a shifted lognormal structure only.

protected virtual double ShiftImpl(double optionTime, double swapLength)

Parameters

optionTime double

The option time.

swapLength double

The swap length, in years.

Returns

double

The shift.

Exceptions

NanoQLException

The structure's volatilities aren't shifted lognormal.

SmileSection(Date, Period, bool)

The smile section for an option date and a swap tenor.

public SmileSection SmileSection(Date optionDate, Period swapTenor, bool extrapolate = false)

Parameters

optionDate Date

The option date.

swapTenor Period

The swap tenor.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

SmileSection

The smile section.

Exceptions

NanoQLException

The swap tenor or the date is outside the structure's domain.

SmileSection(Date, double, bool)

The smile section for an option date and a swap length: the query is checked with the flag, and the section is the one for the date's time, checked again without it.

public SmileSection SmileSection(Date optionDate, double swapLength, bool extrapolate = false)

Parameters

optionDate Date

The option date.

swapLength double

The swap length, in years.

extrapolate bool

Whether to extrapolate outside the structure's range, in the first check only.

Returns

SmileSection

The smile section.

Exceptions

NanoQLException

The swap length or the date is outside the structure's domain.

SmileSection(Period, Period, bool)

The smile section for an option tenor and a swap tenor.

public SmileSection SmileSection(Period optionTenor, Period swapTenor, bool extrapolate = false)

Parameters

optionTenor Period

The option tenor, from the reference date.

swapTenor Period

The swap tenor.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

SmileSection

The smile section.

SmileSection(Period, double, bool)

The smile section for an option tenor and a swap length: the query is checked with the flag, and the section is the one for the tenor's option date, checked again without it.

public SmileSection SmileSection(Period optionTenor, double swapLength, bool extrapolate = false)

Parameters

optionTenor Period

The option tenor, from the reference date.

swapLength double

The swap length, in years.

extrapolate bool

Whether to extrapolate outside the structure's range, in the first check only.

Returns

SmileSection

The smile section.

Exceptions

NanoQLException

The swap length or the date is outside the structure's domain.

SmileSection(double, Period, bool)

The smile section for an option time and a swap tenor: the query is checked with the flag, and the section is the one for the time and the tenor's swap length, checked again without it.

public SmileSection SmileSection(double optionTime, Period swapTenor, bool extrapolate = false)

Parameters

optionTime double

The option time, from the reference date.

swapTenor Period

The swap tenor.

extrapolate bool

Whether to extrapolate outside the structure's range, in the first check only.

Returns

SmileSection

The smile section.

Exceptions

NanoQLException

The swap tenor or the time is outside the structure's domain.

SmileSection(double, double, bool)

The smile section for an option time and a swap length.

public SmileSection SmileSection(double optionTime, double swapLength, bool extrapolate = false)

Parameters

optionTime double

The option time, from the reference date.

swapLength double

The swap length, in years.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

SmileSection

The smile section.

Exceptions

NanoQLException

The swap length or the time is outside the structure's domain.

SmileSectionImpl(Date, Period)

The smile section for an option date and a swap tenor, without range checks; by default the one for the date's time and the tenor's swap length.

protected virtual SmileSection SmileSectionImpl(Date optionDate, Period swapTenor)

Parameters

optionDate Date

The option date.

swapTenor Period

The swap tenor.

Returns

SmileSection

The smile section.

SmileSectionImpl(double, double)

The smile section for an option time and a swap length, without range checks.

protected abstract SmileSection SmileSectionImpl(double optionTime, double swapLength)

Parameters

optionTime double

The option time.

swapLength double

The swap length, in years.

Returns

SmileSection

The smile section.

SwapLength(Date, Date)

The swap length between two dates: the days between them in months of 365.25/12 days, rounded to whole months, in years.

public double SwapLength(Date start, Date end)

Parameters

start Date

The swap's start date.

end Date

The swap's end date.

Returns

double

The length, in years.

Exceptions

ArgumentException

A date is default(Date), or the end isn't after the start.

SwapLength(Period)

The swap length of a swap tenor: its length in years, a tenor in months counting twelfths.

public double SwapLength(Period swapTenor)

Parameters

swapTenor Period

The swap tenor, in months or years.

Returns

double

The length, in years.

Exceptions

ArgumentException

The tenor isn't positive, or isn't in months or years.

Volatility(Date, Period, double, bool)

The volatility for an option date, a swap tenor and a strike.

public double Volatility(Date optionDate, Period swapTenor, double strike, bool extrapolate = false)

Parameters

optionDate Date

The option date.

swapTenor Period

The swap tenor.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The volatility.

Exceptions

NanoQLException

The swap tenor, the date or the strike is outside the structure's domain.

Volatility(Date, double, double, bool)

The volatility for an option date, a swap length and a strike.

public double Volatility(Date optionDate, double swapLength, double strike, bool extrapolate = false)

Parameters

optionDate Date

The option date.

swapLength double

The swap length, in years.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The volatility.

Exceptions

NanoQLException

The swap length, the date or the strike is outside the structure's domain.

Volatility(Period, Period, double, bool)

The volatility for an option tenor, a swap tenor and a strike.

public double Volatility(Period optionTenor, Period swapTenor, double strike, bool extrapolate = false)

Parameters

optionTenor Period

The option tenor, from the reference date.

swapTenor Period

The swap tenor.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The volatility.

Volatility(Period, double, double, bool)

The volatility for an option tenor, a swap length and a strike.

public double Volatility(Period optionTenor, double swapLength, double strike, bool extrapolate = false)

Parameters

optionTenor Period

The option tenor, from the reference date.

swapLength double

The swap length, in years.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The volatility.

Volatility(double, Period, double, bool)

The volatility for an option time, a swap tenor and a strike.

public double Volatility(double optionTime, Period swapTenor, double strike, bool extrapolate = false)

Parameters

optionTime double

The option time, from the reference date.

swapTenor Period

The swap tenor.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The volatility.

Exceptions

NanoQLException

The swap tenor, the time or the strike is outside the structure's domain.

Volatility(double, double, double, bool)

The volatility for an option time, a swap length and a strike.

public double Volatility(double optionTime, double swapLength, double strike, bool extrapolate = false)

Parameters

optionTime double

The option time, from the reference date.

swapLength double

The swap length, in years.

strike double

The strike.

extrapolate bool

Whether to extrapolate outside the structure's range.

Returns

double

The volatility.

Exceptions

NanoQLException

The swap length, the time or the strike is outside the structure's domain.

VolatilityImpl(Date, Period, double)

The volatility for an option date, a swap tenor and a strike, without range checks; by default the one for the date's time and the tenor's swap length.

protected virtual double VolatilityImpl(Date optionDate, Period swapTenor, double strike)

Parameters

optionDate Date

The option date.

swapTenor Period

The swap tenor.

strike double

The strike.

Returns

double

The volatility.

VolatilityImpl(double, double, double)

The volatility for an option time, a swap length and a strike, without range checks.

protected abstract double VolatilityImpl(double optionTime, double swapLength, double strike)

Parameters

optionTime double

The option time.

swapLength double

The swap length, in years.

strike double

The strike.

Returns

double

The volatility.