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Hi:
Just looking for some advice - I need to construct a swaption volatility surface (ATM vols across option expiration and swap tenors) with sparse data, the swaption surface object qlSabrVolSurface() returns a valid object but when trying to extract sections from it with the corresponding smile sections (qlSmileSectionFromSabrVolSurface) got an error "invalid SimpleQuote" (due to missing quotes at certain expirations and swap tenors).
Not sure if there is a solution beside gluing together individual slices of the surface and extrapolate/interpolate the missing data? Anyone one tried a "sparse" volatility interpolation?
Thank you,
Radu
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