Maturity-Strike
Subtype of Vol InputThe volatility depends on both Maturity and strike and specified by a Table2D object containing volatilities for various (maturity,strike) combinations.
One dimension must span the maturities and carry the title #Maturity, while the other must span the strikes and carry the title #Strike.
Note this type only makes sense if the entry Vol Type defined within Vol Ref supports the notion of "strike".
It is implemented through the QuantLib::BlackVarianceSurface, depending on the referenced quantity.
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.