swaption surface

Posted by Grison PG Pierre (External DEXIA-US) on Mar 13, 2015; 2:19pm
URL: http://quantlib.414.s1.nabble.com/swaption-surface-tp16362.html

Hello all,

 

What is the best way in QuantLib to define, for a given tenor, a swaption volatility surface such as vol=f(maturity,strike) ?

 

Many thanks,

 

Pierre

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