USD swaption normal bpv

[T. Nicolas Steinbach]

I have looked through several examples relating to Swaption pricing and have seen the use of log-vol only.

As the market today European and USD Swaptions in normal vol, I was curious if there was a way to specify these units in either a pricing engine or a model?

 

Any examples using QuantlibXL would be greatly appreciated?

 

Thanks in advance,

T. Nicolas

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[Peter Caspers-4]

>From what I know: the core is there (bachelierBlackFormula) and
displaced lognormal volatilities are supported at some more places
(e.g. BlackSwaptionEngine), but I think there is no end to end support
for either of these types of volatilities, in particular not in the
rate volatility surfaces and not in the calibration helpers for short
rate models. Also some other things would require a review like
convexity adjustments of all types computed in the coupon pricers, we
should have a displaced SABR model, the normal SABR expansion and so
on. We should do it before rates go up again :-)
Peter


On 20 October 2014 20:25, T. Nicolas Steinbach
<[hidden email]> wrote:

> I have looked through several examples relating to Swaption pricing and have
> seen the use of log-vol only.
>
> As the market today European and USD Swaptions in normal vol, I was curious
> if there was a way to specify these units in either a pricing engine or a
> model?
>
>
>
> Any examples using QuantlibXL would be greatly appreciated?
>
>
>
> Thanks in advance,
>
> T. Nicolas
>
>
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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[T. Nicolas Steinbach]

Thank you for the reply.
I did find the Bachelier BlackFormula in w/in the pricing engines.

At first blush, it appears that QuantLibXL needs to expose this engine, as it didn't appear to be in the interface I searched.
I can also see a need to price callables using the Bachelier BlackFormulas.

I'd be happy to chip in significantly if you'd like to collaborate.
BTW, what do you mean by displaced log-normal vol?

-----Original Message-----
From: Peter Caspers [mailto:[hidden email]]
Sent: Friday, October 24, 2014 11:07 AM
To: T. Nicolas Steinbach
Cc: [hidden email]
Subject: Re: [Quantlib-users] USD swaption normal bpv

>From what I know: the core is there (bachelierBlackFormula) and displaced lognormal volatilities are supported at some more places (e.g. BlackSwaptionEngine), but I think there is no end to end support for either of these types of volatilities, in particular not in the rate volatility surfaces and not in the calibration helpers for short rate models. Also some other things would require a review like convexity adjustments of all types computed in the coupon pricers, we should have a displaced SABR model, the normal SABR expansion and so on. We should do it before rates go up again :-) Peter


On 20 October 2014 20:25, T. Nicolas Steinbach <[hidden email]> wrote:

> I have looked through several examples relating to Swaption pricing
> and have seen the use of log-vol only.
>
> As the market today European and USD Swaptions in normal vol, I was
> curious if there was a way to specify these units in either a pricing
> engine or a model?
>
>
>
> Any examples using QuantlibXL would be greatly appreciated?
>
>
>
> Thanks in advance,
>
> T. Nicolas
>
>
> ----------------------------------------------------------------------
> --------
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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[Peter Caspers-4]

dF = (F + \alpha) \sigma dW would be the displaced black model with
displacement paramter \alpha
BR, Peter

On 24 October 2014 20:19, T. Nicolas Steinbach
<[hidden email]> wrote:

> Thank you for the reply.
> I did find the Bachelier BlackFormula in w/in the pricing engines.
>
> At first blush, it appears that QuantLibXL needs to expose this engine, as it didn't appear to be in the interface I searched.
> I can also see a need to price callables using the Bachelier BlackFormulas.
>
> I'd be happy to chip in significantly if you'd like to collaborate.
> BTW, what do you mean by displaced log-normal vol?
>
> -----Original Message-----
> From: Peter Caspers [mailto:[hidden email]]
> Sent: Friday, October 24, 2014 11:07 AM
> To: T. Nicolas Steinbach
> Cc: [hidden email]
> Subject: Re: [Quantlib-users] USD swaption normal bpv
>
> From what I know: the core is there (bachelierBlackFormula) and displaced lognormal volatilities are supported at some more places (e.g. BlackSwaptionEngine), but I think there is no end to end support for either of these types of volatilities, in particular not in the rate volatility surfaces and not in the calibration helpers for short rate models. Also some other things would require a review like convexity adjustments of all types computed in the coupon pricers, we should have a displaced SABR model, the normal SABR expansion and so on. We should do it before rates go up again :-) Peter
>
>
> On 20 October 2014 20:25, T. Nicolas Steinbach <[hidden email]> wrote:
>> I have looked through several examples relating to Swaption pricing
>> and have seen the use of log-vol only.
>>
>> As the market today European and USD Swaptions in normal vol, I was
>> curious if there was a way to specify these units in either a pricing
>> engine or a model?
>>
>>
>>
>> Any examples using QuantlibXL would be greatly appreciated?
>>
>>
>>
>> Thanks in advance,
>>
>> T. Nicolas
>>
>>
>> ----------------------------------------------------------------------
>> --------
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>

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