R: Antwort: Swaption volatility cube 1

Thanks Peter,
I got it,
Paolo

>----Messaggio originale----
>Da: [hidden email]
>Data: 07/09/2010 8.36
>A: "[hidden email]"<[hidden email]>
>Cc: <[hidden email]>
>Ogg: Antwort: [Quantlib-users] Swaption volatility cube 1
>
><forward> think it is the forward swap rate corresponding to the swaption
><guess> (alpha,beta,nu,rho) for each option tenor / swap length, i.e. for
>each single smile
>best, Peter
>
>
>
>                                                                      
>             "tarpanelli@liber                                        
>             o.it"                                                    
>             <tarpanelli@liber                                          An
>             o.it>                      [hidden email]
>                                        et                            
>             06.09.2010 20:43                                        Kopie
>                                                                      
>                                                                     Thema
>              Bitte antworten           [Quantlib-users] Swaption      
>                    an                  volatility cube 1              
>             "tarpanelli@liber                                        
>                   o.it"                                              
>             <tarpanelli@liber                                        
>                   o.it>                                              
>                                                                      
>                                                                      
>
>
>
>
>Hello,
>I am trying to implement the swaption volatility cube using
>qlswaptionvolcube1
>(SABR interpolation) but I have some doubt about the meaning of 2
>parameters:
>
>The first parameter is the <forward> into the function qlSABRInterpolation:
>
>does it refer to the swap length?
>
>The second parameter is the <guess>  into the function qlSwaptionVolCube1 :
>is
>this the matrix of alpha,beta,nu,rho parameters for each triplet option
>tenor /
>swap length /strike spread)?
>
>thanks in advance
>Paolo
>

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