Dear QL developers and users,
I'm trying to use and mimic the BermudaSwaption example to price a
Bermuda product. The fact is that the tenors in the volatility matrix of
the example are the same of the Bermuda, while in everyday life I have
ATM swaption volatility matrix data that do not overlap with contracts
expiry dates.
So, should I calibrate my short-rate model using only crude volatility
swaption market data or should I performe some-kind of interpolation on
this market data in order to extract volatilities corresponding to my
contract expiry dates? What is the best practice? How can I do that in
QuantLib (for example, given a vol matrix, can I get an extrapolated value?)
Thank you in advance for any hint or direction to look for.
luca
--
Luca Ferraro
Gruppo Scienze dei Materiali
CASPUR (Consorzio per le Applicazioni di
Supercalcolo Per Università e Ricerca)
Via dei Tizii, 6b - 00185 ROMA
Tel. +39-06-44486717
Fax: +39-06-4957083
cell: +39-339-7879898
Email:
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