>From my experience: swaption strikes are almost always given in relative terms.
> On 26.03.2015, at 22:07, "Grison PG Pierre (External DEXIA-US)" <
[hidden email]> wrote:
>
> Hello,
>
> Do you know if there is a reason for:
>
> Rate minStrike() const { return 0.0; }
> Rate maxStrike() const { return 1.0; }
>
> I have the feeling the strikes are expressed as spreads from the spot swap rate but I should be wrong. If have strikes such as -3bps (real strike = spot rate -3bps), -2bps, ..., +3bps and so on, should I convert them before using quantlib?
>
> Pierre
>
>
>
>
> -----Original Message-----
> From: Peter Caspers [mailto:
[hidden email]]
> Sent: Friday, March 13, 2015 10:43 AM
> To: Grison PG Pierre (External DEXIA-US)
> Cc:
[hidden email]
> Subject: Re: [Quantlib-users] swaption surface
>
> 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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