quantlib.termstructures.volatility.swaption.swaption_vol_matrix.
SwaptionVolatilityMatrix¶
- class SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, list option_tenors, list swap_tenors, Matrix volatilities, DayCounter day_counter, bool flat_extrapolation=False, VolatilityType vol_type=ShiftedLognormal, shifts=[])¶
Bases:
SwaptionVolatilityDiscrete- 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, ...)from_reference_date(cls, ...[, shifts])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, ...)