Skip to main content

swaption_normal_vol_label

Function swaption_normal_vol_label 

pub fn swaption_normal_vol_label(
    currency: Currency,
    expiry: NaiveDate,
    end: NaiveDate,
) -> String
Expand description

The canonical exogenous label carrying an ATM swaption’s normal volatility: SWAPTION-NVOL-{CCY}-{expiry}x{end}, both ISO dates — the expiry of the option and the end of the underlying swap. Dates rather than year counts because a strip implied by a call schedule lands on arbitrary dates, and a rounded year count would need a rule and could collide.