swaptionvolcube2.hpp File Reference

Swaption volatility cube, fit-later-interpolate-early approach. More...

#include <ql/math/interpolations/interpolation2d.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>

Go to the source code of this file.

Classes
class	SwaptionVolCube2

Namespaces
namespace	QuantExt

Detailed Description

Swaption volatility cube, fit-later-interpolate-early approach.

, with flat extrapolation in strike direction

Definition in file swaptionvolcube2.hpp.