quantlib.pricingengines.swaption.black_swaption_engine.BlackSwaptionEngine

class BlackSwaptionEngine(YieldTermStructure 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.

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)