smile for cap/floor and swaption vols

[Michael Dirkmann]

Hi,

there was a thread in December 2002 about handling swaption vols with smile.
As far as I see the functions for retrieving vols have been adapted but no
implementation of the volatility cube (or volatility matrix in the cap/floor
case) has been performed. Did anyone do some work on this? If not I will do
so next weekend.

Regards

  Michael

[Luigi Ballabio-2]

On 2004.07.12 20:52, Michael Dirkmann wrote:
> As far as I see no implementation of the volatility cube (or  
> volatility matrix in the cap/floor case) has been performed. Did  
> anyone do some work on this? If not I will do so next weekend.

Michael,
        we didn't work on volatility smile, a) due to lack of time and  
b) because we weren't sure that those classes' interface is the right  
one. But by all means, go ahead and code if you need it. Were the  
interface to change, your code could be adapted anyway.

Thanks,
        Luigi