Convert swaption volatilities from one type to another.
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#include <ql/indexes/iborindex.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>
#include <ql/shared_ptr.hpp>
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Real | convertSwaptionVolatility (const Date &asof, const Period &optionTenor, const Period &swapTenor, const QuantLib::ext::shared_ptr< SwapIndex > &swapIndexBase, const QuantLib::ext::shared_ptr< SwapIndex > &shortSwapIndexBase, const DayCounter volDayCounter, const Real strikeSpread, const Real inputVol, const QuantLib::VolatilityType inputType, const Real inputShift, const QuantLib::VolatilityType outputType, const Real outputShift) |
| | swaption vol converter
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Convert swaption volatilities from one type to another.
