quantlib.termstructures.volatility.swaption.swaption_constant_vol.
ConstantSwaptionVolatility¶
- class ConstantSwaptionVolatility(Natural settlement_days, Calendar calendar, BusinessDayConvention bdc, volatility, DayCounter day_counter, VolatilityType vol_type=VolatilityType.ShiftedLognormal, Real shift=0.)¶
Bases:
SwaptionVolatilityStructure- Attributes:
- calendar
- extrapolation
- reference_date
- settlement_days
- volatility_type
Methods
black_variance(self, option_date, swap_date, ...)from_reference_date(cls, ...)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, ...)