quantlib.termstructures.volatility.swaption.swaption_vol_cube.
SwaptionVolatilityCube¶
- class SwaptionVolatilityCube¶
Bases:
SwaptionVolatilityDiscrete- Attributes:
- calendar
- extrapolation
- option_dates
- option_tenors
- option_times
- reference_date
- settlement_days
- 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 date)volatility(self, option_date, swap_date, ...)