Posted by
Peter Caspers-4 on
Oct 24, 2014; 6:04pm
URL: http://quantlib.414.s1.nabble.com/USD-swaption-normal-bpv-tp15986p15988.html
>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
>
>
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