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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
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, ...)

Attributes

calendar
extrapolation
option_dates
option_tenors
option_times
reference_date
settlement_days
swap_lengths
swap_tenors
volatility_type

classmethod from_reference_date(cls, Date reference_date, Calendar calendar, BusinessDayConvention bdc, option_tenors, swap_tenors, volatilities, DayCounter day_counter, bool flat_extrapolation=False, VolatilityType vol_type=ShiftedLognormal, shifts=[])