Swaption volatility cube, fit-later-interpolate-early approach. More...
#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
Classes | |
class | SwaptionVolCube2 |
Swaption volatility cube, fit-later-interpolate-early approach.
, with flat extrapolation in strike direction