quantlib.models.shortrate.calibrationhelpers.swaption_helper.SwaptionHelper

class SwaptionHelper(maturity_or_exercise_date, length_or_end_date, Quote volatility, IborIndex index, Period fixed_leg_tenor, DayCounter fixed_leg_daycounter, DayCounter floating_leg_daycounter, YieldTermStructure ts, CalibrationErrorType error_type=RelativePriceError, Real strike=Null[Real](), Real nominal=1.0, VolatilityType vol_type=VolatilityType.ShiftedLognormal, Real shift=0.0)

Bases: BlackCalibrationHelper

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
black_price(self, double volatility)
calibration_error(self)
impliedVolatility(self, Real targetValue, ...)
market_value(self)
model_value(self)
set_pricing_engine(self, PricingEngine engine)