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SwaptionVolatilityMatrix Class Reference#include <swaptionvolmatrix.hpp>
Inheritance diagram for SwaptionVolatilityMatrix: ![]() Detailed DescriptionSwaption at-the-money volatility matrix.This class provides the at-the-money volatility for a given swaption by interpolating a volatility matrix whose elements are the market volatilities of a set of swaption with given exercise date and length.
The documentation for this class was generated from the following file:
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