Hello everyone,
I am trying to use qlswaptionvolcube1 to construct a cube within excel. This is how I set up the object in excel:
ATMVolStructure - =qlswaptionVTSmatrix
SwapIndexBase - =qlswapindex (referenced from swap curve ibor index, tenor 10Y)
ShortSwapIndexBase - =qlswapindex (referenced from same swap curve ibor index, tenor 2Y)
VegaWeightedSmileFit = TRUE
Guess - (I have no idea what type of parameters go here - any clarification would be greatly appreciated)
IsFixed - FALSE
IsATMCalibrated - TRUE
EndCriteria - =qlendcriteria
OptMethod - =qlLevenbergMarquardt
However, in the process of selecting some of the items through the excel formula pop up window, something seems to cause excel to suddenly crash. I've tried setting up the object at least 25 times, and each time results in a crash. I am currently using excel 2007 (which may be the source of the problem) and QL-XL version 0.9.6. Has anyone else had this issue before, and if so, do you know of any ways to circumvent the issue?
Furthermore, is there a better way of constructing the swaption vol surface/skews outside of the cube? The market data that I have available spans 1M,3M,6M,1Y,2Y, and 5Y expiries in conjunction with 2Y,5Y,10Y, and 30Y tenors. 1Y and further expiries have skew data out to +/- 200 bp, while for any shorter expires I have to use SABR calibrated to the available market data to extrapolate volatilites beyond +/- 75 bp. I am looking for the cleanest way to approximate specific points on the vol surface (i.e. 2.5M x 6.75Y ATM+100 bp payer), and as far as I know, the calibrated cube is the simplest way to interpolate these points.
I apologize in advance if this has been discussed in a post somewhere on a message board, but my searches did not come up with any results.
Thanks,
Mike
------------------------------------------------------------------------------
Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
trial. Simplify your report design, integration and deployment - and focus on
what you do best, core application coding. Discover what's new with
Crystal Reports now.
http://p.sf.net/sfu/bobj-july_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
