Export spreaded swaption volatility

lballabio · Jul 31, 2024 · 5db995b · 5db995b
1 parent 7bf21f0
commit 5db995b
Showing 1 changed file with 13 additions and 0 deletions.
diff --git a/SWIG/volatilities.i b/SWIG/volatilities.i
@@ -709,6 +709,19 @@ class InterpolatedSwaptionVolatilityCube : public SwaptionVolatilityCube {
 deprecate_feature(SwaptionVolCube2, InterpolatedSwaptionVolatilityCube)
 
 
+%{
+using QuantLib::SpreadedSwaptionVolatility;
+%}
+
+%shared_ptr(SpreadedSwaptionVolatility)
+class SpreadedSwaptionVolatility : public SwaptionVolatilityStructure {
+  public:
+    SpreadedSwaptionVolatility(const Handle<SwaptionVolatilityStructure>&,
+                               Handle<Quote> spread);
+};
+
+
+
 %{
 using QuantLib::ConstantYoYOptionletVolatility;
 %}