quantlib.termstructures.volatility.swaption.swaption_vol_structure.SwaptionVolatilityStructure

class SwaptionVolatilityStructure

Bases: VolatilityTermStructure

__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

calendar
extrapolation
reference_date
settlement_days
volatility_type

black_variance(self, option_date, swap_date, Rate strike, bool extrapolate=False)

shift(self, option_date, swap_date, bool extrapolate=False)

smile_section(self, Period option_tenor, Period swap_tenor, bool extrapolation=False)

volatility(self, option_date, swap_date, Rate strike, bool extrapolate=False)