Hi Chris,
you can use SwaptionVolatilityMatrix für volatility surfaces dependent
on the underlying tenor and the option tenor and
SwaptionVolatilityCube1 and 2 for surfaces with an additional
dependency on the strike. Both derive from SwaptionVolatilityStructure
(with intermediate classes SwaptionVolatilityDiscrete for the matrix
and SwaptionVolatilityCube für the cubes), so they should be visible
in class diagrams. At which ones do you look at ?
best regards
Peter
On 27 July 2015 at 08:09, Chris Derick <
[hidden email]> wrote:
> Hi all,
>
> Firstly I'm new to quantlib, hence do forgive my ignorance here and there.
>
> Anyway I am following the example on "gaussian1dmodel". I have noticed that
> the swaption volatility structure is instantiated by
> "ConstantSwaptionVolatility". I have checked in quantlib's Inheritance
> diagram and notice that there's only "ConstatnSwaptionVolatility" under
> "SwaptionVolatilityStructure".
>
> Does this basically means that I could not calibrate HW1F with a swaption
> cube yet? What about term structure alone?
>
> Thanks for clearing my doubt in advance.
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Calibrating-HW1F-with-swaption-vol-cube-tp16744.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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