quantlib.termstructures.volatility.swaption.swaption_vol_discrete.SwaptionVolatilityDiscrete¶
- class SwaptionVolatilityDiscrete¶
Bases:
SwaptionVolatilityStructure- __init__()¶
Methods
__init__()black_variance(self, option_date, swap_date, ...)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
calendarextrapolationoption_datesoption_tenorsoption_timesreference_datesettlement_daysswap_lengthsswap_tenorsvolatility_type