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Vol_Curve__Vol_Input

Vol Input refers to List of possible ways that the volatility may be specified.
Available Vol Input types:
Flat
The volatility bears no dependence on
Key Vol::Peg Date or any other relevant parameter and may thus be entered as a single number.
It is implemented either through the QuantLib BlackConstantVol or ConstantSwaptionVolatility or ConstantCapFloorVolatility, depending on the referenced quantity.
Maturity
The volatility depends only on
Key Vol::Peg Date
It is specified by a
Set object consisting of 2 columns that contain volatilities for various maturities.
The first column must bear the title #Maturity and contain the maturities, entered either as dates or steps.
The second column must bear the title #Vol and contain the respective volatilities.
It is implemented through the QuantLib BlackVarianceCurve, which models the variance as a function of time.
Regarding the maturities that do not appear in the Set a separately supplied user-defined interpolation scheme is also needed.
Note that since the initial variance is always zero, such an interpolation cannot be log based, since the logarithm of the initial zero value does not exist.
Maturity-Strike
The volatility depends on both
Key Vol::Peg Date and strike.
It is specified by a
Table2D object containing volatilities for various (maturity,strike) combinations.
The first dimension must span the maturities and the second the strikes.
Note this type only makes sense if the entry
Key Vol Spec::Vol Type defined within Vol Spec supports the notion of "strike".
It is implemented either through the QuantLib CapFloorTermVolSurface or BlackVarianceSurface, depending on the referenced quantity.
In the BlackVarianceSurface case, a separately supplied user-defined two-dimensional interpolation scheme is also needed for those dates and tenors that do not appear in the Table2D
Otherwise linear interpolation and flat extrapolation is assumed.
Swaption Cube
The volatility depends on
Key Vol::Peg Date, but also on the tenor and strike of the underlying swap assumed to start on Peg Date.
It is specified by a
HyperTable object containing volatilities for various (option expiry,swap tenor,strike spread) combinations.
The first dimension must span the strike spreads, the second the option expiries (entered as steps) and the third the swap tenors (entered as steps).
The strike spread of 0 must be present along the 1st dimension and the corresponding subtable must contain the at-the-money swaption vols.
All other subtables - i.e. the subtables corresponding to non-zero strike spreads - must contain the vol spreads.
Note this type only makes sense if the entry
Key Vol Spec::Ref Quotable defined within Vol Spec relates to a Vanilla Swaption.
It is implemented through the QuantLib SwaptionVolCube1.
Linear interpolation and flat extrapolation is assumed for those dates, tenors and strikes that do not appear in the HyperTable
Swaption Surface
The volatility depends on
Key Vol::Peg Date, but also on the tenor of the underlying swap assumed to start on Peg Date.
It is specified by a
Table2D object containing volatilities for various (option expiry,swap tenor) combinations.
The first dimension must span the option expiries (entered as dates or steps) and the second the swap tenors (entered as steps).
Note this type only makes sense if the entry
Key Vol Spec::Ref Quotable defined within Vol Spec relates to a Vanilla Swaption.
It is implemented through the QuantLib SwaptionVolatilityMatrix.
Linear interpolation is assumed for those dates and tenors that do not appear in the Table2D
A separately supplied user-defined entry determines whether flat or linear extrapolation is applied.