quantlib.termstructures.volatility.swaption.swaption_vol_discrete.
SwaptionVolatilityDiscrete¶
- class SwaptionVolatilityDiscrete¶
Bases:
SwaptionVolatilityStructure- Attributes:
- calendar
- extrapolation
- option_dates
- option_tenors
- option_times
- reference_date
- settlement_days
- swap_lengths
- swap_tenors
- volatility_type
Methods
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, ...)