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on_strike_axis

Function on_strike_axis 

fn on_strike_axis(
    surface: RateVolSurface,
    strike_axis: Named<StrikeAxis>,
) -> RateVolSurface
Expand description

A surface moved onto the strike axis the caller named. Reading a smile at spreads to the at-the-money forward is the swaption market’s convention, so it is named at construction rather than derived from the numbers, which cannot tell a 1% strike from a 100bp spread.