quantlib.termstructures.volatility.swaption.swaption_vol_cube.

SwaptionVolatilityCube

class SwaptionVolatilityCube

Bases: SwaptionVolatilityDiscrete

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

option_dates

option_tenors

option_times

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

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