Vol_Curve__Vol_Input__Swaption_Surface

This type is exclusively used to describe the volatility of forward interest rate swap rates.It thus only makes sense if the entry Key Vol Spec::Ref Quotable defined within

The fundamental assumption is that for a fixed expiry

Note that we do not assume that the same diffusion parameters apply to all different combinations of

In other words, for each pair

This gives rise to a non-flat volatility surface

For a given discrete collection of pairs

Deriscope allows you to specify this grid of market vols as a Table2D object containing volatilities for various

One dimension must span the option expiries (entered as dates or steps) and the second the swap tenors (entered as steps).

Bilinear interpolation is assumed for any missing entries in the supplied table.

The extrapolation type is controlled by a separate input.

The QuantLib implementation is the