quantlib.termstructures.volatility.swaption.swaption_vol_structure.

SwaptionVolatilityStructure

class SwaptionVolatilityStructure

Bases: VolatilityTermStructure

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

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

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 dt)

date/time conversion

volatility(self, option_date, swap_date, ...)