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SwaptionVolCube1 in QLXL

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Philip Hong

SwaptionVolCube1 in QLXL

Hello,

I’m using SwaptionVolCube1 in QuantlibXL and I have a few questions:

- I’m trying to input vol quotes into SwaptionVolCube1 (from ATM - 200bps to ATM + 200bps, expiries from 1M to 30Y, swap tenors from 1Y to 30Y). However, for the ATM-200/short expiry/short swap tenor swaptions, a lot of those are not quoted (since rates in the front end are so low, ATM-200 would take us negative). So should I just leave those vol quotes blank in the input matrix? Does anyone know what’s the quantlib convention for inputting a sparse matrix where there’s no values for certain cells?

- Again, since front end rates are so low, when I include ATM-200 or even ATM-100 in my strike spreads, I’ll almost certainly run into negative strike territory in the short expiry/tenors. In fact, when I tried to price a swaption (NPV) using the VolCube1 in the pricing engine, I get the following error:

“qlInstrumentNPV - strike (-0.00485626) must be non-negative”

I tried excluding -200 and -100 and was able to get it to work. However, i do want to include at least ATM-100 for the longer expiries/strikes, but have not figured out how to do so. Does anyone have any suggestions ?

Any pointers would be much appreciated. Thanks,

Philip

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Peter Caspers-2

Re: SwaptionVolCube1 in QLXL

Though a quote object can be invalid it does not help for the spread vol quotes, because the cube does not check this property. I can send some adjustments to the code which make it run with the full quotes matrix ignoring cells with negative strikes if of interest. Regards, Peter

Am 27.09.2011 16:46, schrieb Philip Hong:

Hello,

I’m using SwaptionVolCube1 in QuantlibXL and I have a few questions:

- I’m trying to input vol quotes into SwaptionVolCube1 (from ATM - 200bps to ATM + 200bps, expiries from 1M to 30Y, swap tenors from 1Y to 30Y). However, for the ATM-200/short expiry/short swap tenor swaptions, a lot of those are not quoted (since rates in the front end are so low, ATM-200 would take us negative). So should I just leave those vol quotes blank in the input matrix? Does anyone know what’s the quantlib convention for inputting a sparse matrix where there’s no values for certain cells?

- Again, since front end rates are so low, when I include ATM-200 or even ATM-100 in my strike spreads, I’ll almost certainly run into negative strike territory in the short expiry/tenors. In fact, when I tried to price a swaption (NPV) using the VolCube1 in the pricing engine, I get the following error:

“qlInstrumentNPV - strike (-0.00485626) must be non-negative”

I tried excluding -200 and -100 and was able to get it to work. However, i do want to include at least ATM-100 for the longer expiries/strikes, but have not figured out how to do so. Does anyone have any suggestions ?

Any pointers would be much appreciated. Thanks,

Philip
------------------------------------------------------------------------------
All the data continuously generated in your IT infrastructure contains a
definitive record of customers, application performance, security
threats, fraudulent activity and more. Splunk takes this data and makes
sense of it. Business sense. IT sense. Common sense.
http://p.sf.net/sfu/splunk-d2dcopy1
_______________________________________________
QuantLib-users mailing list
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Philip Hong

Re: SwaptionVolCube1 in QLXL

In reply to this post by Philip Hong

Hi Peter, that would be of great help! Can you please send the adjustments?

Thank you very much,

Philip

> Though a quote object can be invalid it does not help for the spread vol 
> quotes, because the cube does not check this property. I can send some 
> adjustments to the code which make it run with the full quotes matrix 
> ignoring cells with negative strikes if of interest. Regards, Peter

> Am <a href="tel:27.09.2011%2016" value="+12709201116" target="_blank">27.09.2011 16:46, schrieb Philip Hong:
>
> Hello,
>
> I’m using SwaptionVolCube1 in QuantlibXL and I have a few questions:
>
>
> -  I’m trying to input vol quotes into SwaptionVolCube1 (from ATM - 
> 200bps to ATM + 200bps, expiries from 1M to 30Y, swap tenors from 1Y 
> to 30Y). However, for the ATM-200/short expiry/short swap tenor 
> swaptions, a lot of those are not quoted (since rates in the front end 
> are so low, ATM-200 would take us negative). So should I just leave 
> those vol quotes blank in the input matrix? Does anyone know what’s 
> the quantlib convention for inputting a sparse matrix where there’s no 
> values for certain cells?
>
> -  Again, since front end rates are so low, when I include ATM-200 or 
> even ATM-100 in my strike spreads, I’ll almost certainly run into 
> negative strike territory in the short expiry/tenors.In fact, when I 
> tried to price a swaption (NPV) using the VolCube1 in the pricing 
> engine, I get the following error:
>
> “qlInstrumentNPV - strike (-0.00485626) must be non-negative”
>
> I tried excluding -200 and -100 and was able to get it to 
> work.However, i do want to include at least ATM-100 for the longer 
> expiries/strikes, but have not figured out how to do so.Does anyone 
> have any suggestions ?
>
> Any pointers would be much appreciated. Thanks,
>
> Philip
>
>
> ------------------------------------------------------------------------------
> All the data continuously generated in your IT infrastructure contains a
> definitive record of customers, application performance, security
> threats, fraudulent activity and more. Splunk takes this data and makes
> sense of it. Business sense. IT sense. Common sense.
> http://p.sf.net/sfu/splunk-d2dcopy1
>
>
> _______________________________________________
> QuantLib-users mailing list
> QuantLib-users@...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Peter Caspers-3

Re: SwaptionVolCube1 in QLXL

Here it is. I transfered the changes from another cube, so it would be good if you could test a little bit. It should work for both a sparse cube as well as for an atm calibrated cube.

Peter

----------------------------------------------------------------------
From: "Philip Hong" <[hidden email]>
To: <[hidden email]>
Date: Thu, 29 Sep 2011 21:36:26 +0200
Subject: Re: [Quantlib-users] SwaptionVolCube1 in QLXL

> Hi Peter, that would be of great help! Can you please send the
adjustments?
>
> Thank you very much,
>
> Philip
>
>
> > Though a quote object can be invalid it does not help for the spread
vol
> > quotes, because the cube does not check this property. I can send
some

> > adjustments to the code which make it run with the full quotes matrix
> > ignoring cells with negative strikes if of interest. Regards, Peter
>
> > Am 27.09.2011 16:46, schrieb Philip Hong:
> >
> > Hello,
> >
> > I’m using SwaptionVolCube1 in QuantlibXL and I have a few questions:
> >
> >
> > - I’m trying to input vol quotes into SwaptionVolCube1 (from ATM -
> > 200bps to ATM + 200bps, expiries from 1M to 30Y, swap tenors from 1Y
> > to 30Y). However, for the ATM-200/short expiry/short swap tenor
> > swaptions, a lot of those are not quoted (since rates in the front

end
> > are so low, ATM-200 would take us negative). So should I just leave
> > those vol quotes blank in the input matrix? Does anyone know what’s
> > the quantlib convention for inputting a sparse matrix where there’s

> > values for certain cells?
> >
> > - Again, since front end rates are so low, when I include ATM-200 or
> > even ATM-100 in my strike spreads, I’ll almost certainly run into
> > negative strike territory in the short expiry/tenors.In fact, when I
> > tried to price a swaption (NPV) using the VolCube1 in the pricing
> > engine, I get the following error:
> >
> > “qlInstrumentNPV - strike (-0.00485626) must be non-negative”
> >
> > I tried excluding -200 and -100 and was able to get it to
> > work.However, i do want to include at least ATM-100 for the longer
> > expiries/strikes, but have not figured out how to do so.Does anyone
> > have any suggestions ?
> >
> > Any pointers would be much appreciated. Thanks,
> >
> > Philip
> >
> >
> > ---------------------------------------------------------------------

---------
> > All the data continuously generated in your IT infrastructure

contains a
> > definitive record of customers, application performance, security
> > threats, fraudulent activity and more. Splunk takes this data and
makes
> > sense of it. Business sense. IT sense. Common sense.
> > http://p.sf.net/sfu/splunk-d2dcopy1
> >
> >
> > _______________________________________________
> > QuantLib-users mailing list
> > QuantLib-users@...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

------------------------------------------------------------------------------
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Why? It contains a definitive record of application performance, security
threats, fraudulent activity, and more. Splunk takes this data and makes
sense of it. IT sense. And common sense.
http://p.sf.net/sfu/splunk-d2dcopy2
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