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Perplexing problem with SwaptionVolCube1 when term structure has "low" yields

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Michael Fang

Perplexing problem with SwaptionVolCube1 when term structure has "low" yields

I built a swaption projection model using QuantlibXL 0.4.0 addin for Excel. I am running into a problem which I was able to replicate using the sample Marketdata.xls workbook.

I am wondering if SwaptionVolCube1 doesn't like "low" rates? I modified the input yields in 'Rates!' tab from the 4.xx% range to the to be around 2.xx% range. But if I do that, the "test" cells (D27) in 'Swaptions Spreads Volatilities" tab start to return #Num!. The log file shows:

ERROR - '[MarketData v2.xls]Swaptions Spreads Volatilities'!$D$27 - qlSwaptionVTSVolatility - option tenor July 18th, 2007, swap tenor 5Y: max error 16.300020 %.

Which doesn't tell me why it is generating a 16.300020% number. I suspect it has something to do with the parameter guess matrix used for calibration, but don't know how to investigate the problem.

Thanks for any help or pointer you may provide!

Michael Fang

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eric ehlers

Re: Perplexing problem with SwaptionVolCube1 when term structure has "low" yields

Hi All,

FYI in summary of an offline discussion regarding the attached issue -
the problem will be resolved in the next release of QuantLib... The
next release includes enhancements to the code for swaption vol cubes,
when run against the new code the spreadsheet calculates successfully
and the swaption prices reconcile against an external source.

Regards,
Eric

On 5/15/07, Michael Fang <[hidden email]> wrote:

>
>
> I built a swaption projection model using QuantlibXL 0.4.0 addin for Excel.
> I am running into a problem which I was able to replicate using the sample
> Marketdata.xls workbook.
>
>
> I am wondering if SwaptionVolCube1 doesn't like "low" rates? I modified the
> input yields in 'Rates!' tab from the 4.xx% range to the to be around 2.xx%
> range. But if I do that, the "test" cells (D27) in 'Swaptions Spreads
> Volatilities" tab start to return #Num!. The log file shows:
>
> ERROR - '[MarketData v2.xls]Swaptions Spreads Volatilities'!$D$27 -
> qlSwaptionVTSVolatility - option tenor July 18th, 2007, swap tenor 5Y: max
> error 16.300020 %.
>
> Which doesn't tell me why it is generating a 16.300020% number. I suspect
> it has something to do with the parameter guess matrix used for calibration,
> but don't know how to investigate the problem.
>
> Thanks for any help or pointer you may provide!
>
> Michael Fang
> -------------------------------------------------------------------------
> This SF.net email is sponsored by DB2 Express
> Download DB2 Express C - the FREE version of DB2 express and take
> control of your XML. No limits. Just data. Click to get it now.
> http://sourceforge.net/powerbar/db2/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>