quantlib.pricingengines.swaption.black_swaption_engine.

BlackSwaptionEngine

class BlackSwaptionEngine(HandleYieldTermStructure discount_curve, vol, DayCounter dc=Actual365Fixed(), Real displacement=0., CashAnnuityModel model=DiscountCurve)

Bases: PricingEngine

Shifted Lognormal Black-formula swaption engine

Warning

The engine assumes that the exercise date lies before the start date of the passed swap.