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

Calendar: calendar

day_counter

DayCounter: day counter

extrapolation

max_date

Date: the latest date for which the curve can return values

max_time

Time: the latest time for which the curve can return values

option_dates

option_tenors

option_times

reference_date

Date: the date at which discount = 1.0 and/or variance = 0.0

settlement_days

int: number of settlement days used for reference date calculation

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 dt)	date/time conversion
volatility(self, option_date, swap_date, ...)