quantlib.termstructures.volatility.swaption.sabr_swaption_volatility_cube.

SabrSwaptionVolatilityCube

class SabrSwaptionVolatilityCube(HandleSwaptionVolatilityStructure atm_vol_structure, list option_tenors, list swap_tenors, vector[Spread] strike_spreads, list vol_spreads, SwapIndex swap_index_base, SwapIndex short_swap_index_base, bool vega_weighted_smile_fit, list parameters_guess, vector[bool] is_parameter_fixed, bool is_atm_calibrated, EndCriteria end_criteria=EndCriteria.__new__(EndCriteria), Real max_error_tolerance=Null[Real](), OptimizationMethod opt_method=OptimizationMethod(), Real error_accept=Null[Real](), bool use_max_error=False, Size max_guesses=50, bool backward_flat=False, Real cutoff_strike=0.0001)

Bases: SwaptionVolatilityCube

Attributes:

calendar

Calendar: calendar

day_counter

DayCounter: day counter

extrapolation

max_date

Date: the latest date for which the curve can return values

max_time

Time: the latest time for which the curve can return values

option_dates

option_tenors

option_times

reference_date

Date: the date at which discount = 1.0 and/or variance = 0.0

settlement_days

int: number of settlement days used for reference date calculation

strike_spreads

swap_lengths

swap_tenors

vega_weighted_smile_fit

vol_spreads

volatility_type

Methods

atm_strike(self, option_date, Period swap_tenor)
atm_vol(self)
black_variance(self, option_date, swap_date, ...)
option_date_from_tenor(self, Period period)
shift(self, option_date, swap_date, ...)
short_swap_index_base(self)
smile_section(self, Period option_tenor, ...)
swap_index_base(self)
time_from_reference(self, Date dt)	date/time conversion
volatility(self, option_date, swap_date, ...)