Vol_Curve__Vol_Input__Maturity

The volatility depends only on Key Vol::Peg DateIt 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

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.