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Hello,
I am using qlSwaptionVolCube1 to construct the volatility cube for US swaption. The OTM quotes I have are up to +/- 200 bps. But for some short option tenor buckets (such as 3MX3Yr), ATM rates are less than 2%. Therefore, no -200 bps OTM quotes are available for them. How can I specify a matrix of spread vol quotes with missing elements? for example, no -200 bps quote for 3MX3Yr?
Thanks,
J
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