Posted by
Peter Caspers-4 on
Mar 13, 2015; 2:34pm
URL: http://quantlib.414.s1.nabble.com/swaption-surface-tp16362p16363.html
Hi Pierre,
SwaptionVolCube1 (SABR) and SwaptionVolCube2 (linearly interpolated)
are the available choices in the production branch, both located in ql
/ termstructures / volatility / swaption
Best regards
Peter
On 13 March 2015 at 15:28, Grison PG Pierre (External DEXIA-US)
<
[hidden email]> wrote:
> Hello all,
>
>
>
> What is the best way in QuantLib to define, for a given tenor, a swaption
> volatility surface such as vol=f(maturity,strike) ?
>
>
>
> Many thanks,
>
>
>
> Pierre
>
>
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conversation now.
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