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Docs/UserGuide/parameterisation/curveconfig.tex

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@@ -162,7 +162,7 @@ \subsubsection{FX Volatility Structures}
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<DayCounter>A365</DayCounter>
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<Calendar>US,JP</Calendar>
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<Conventions>USD-JPY-FXOPTION</Conventions>
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<SmileExtrapolation>Linear</SmileExtrapolation>
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<SmileExtrapolation>UseInterpolator</SmileExtrapolation>
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</FXVolatility>
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\end{minted}
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\caption{FX option volatility configuration Smile / Delta}
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data input. See \ref{sss:fx_option_conv} for more details.
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\item BaseVolatility1: For `ATMTriangulated' this denotes one of the surfaces we want to triangulate from
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\item BaseVolatility2: For `ATMTriangulated' this denotes one of the surfaces we want to triangulate from
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\item SmileExtrapolation [Optional]: In case of SmileType Delta. Indicates the extrapolation in the smile direction. The
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allowable values are None, UseInterpolator, Linear and Flat. Both Flat and
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None give flat extrapolation in the smile direction. UseInterpolator and
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Linear indicate that the configured interpolation (linear) should be continued in
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the strike direction in order to extrapolate.
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\item SmileExtrapolation [Optional]: Applicable only in case of SmileType Delta. Indicates the extrapolation in the
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smile direction. The allowable values are None, UseInterpolator (or Linear) and Flat. Both Flat and None give flat
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extrapolation. UseInterpolator indicates that the configured interpolation should be continued in the strike
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direction in order to extrapolate. Default if not provided value is Flat.
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\end{itemize}
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\subsubsection{Equity Curve Structures}

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