quantlib.termstructures.volatility.swaption.spreaded_swaption_vol.

SpreadedSwaptionVolatility

class SpreadedSwaptionVolatility(vs, Quote spread)

Bases: SwaptionVolatilityStructure

Attributes:
calendar
extrapolation
reference_date
settlement_days
volatility_type

Methods

black_variance(self, option_date, swap_date, ...)

option_date_from_tenor(self, Period period)

shift(self, option_date, swap_date, ...)

smile_section(self, Period option_tenor, ...)

time_from_reference(self, Date date)

volatility(self, option_date, swap_date, ...)