Convert swaption volatilities from one type to another. More...
#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp>
#include <boost/shared_ptr.hpp>
Classes | |
class | SwapConventions |
class | SwaptionVolatilityConverter |
Class that converts a supplied SwaptionVolatilityStructure to one of another type with possibly different shifts. More... | |
Convert swaption volatilities from one type to another.