Maturity
Subtype of Vol InputThe volatility depends only on Maturity and specified by a Set object entered in key Vol Set that consists of 2 columns containing volatilities for various maturities.
Specifically, the maturity column must carry the title #Maturity and the volatility column must carry the title #Vol.
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.