quantlib.termstructures.volatility.swaption.swaption_vol_cube.SwaptionVolatilityCube

class SwaptionVolatilityCube

Bases: SwaptionVolatilityDiscrete

__init__()

Methods

__init__()
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, ...)

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

atm_strike(self, option_date, Period swap_tenor)

atm_vol(self)

short_swap_index_base(self)

swap_index_base(self)