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

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

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

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 dt)	date/time conversion
volatility(self, option_date, swap_date, ...)