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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
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, ...)

Attributes

calendar
extrapolation
reference_date
settlement_days
volatility_type

classmethod from_reference_date(cls, Date reference_date, Calendar calendar, BusinessDayConvention bdc, volatility, DayCounter day_counter, VolatilityType vol_type=VolatilityType.ShiftedLognormal, Real shift=0.)