Login  Register

Calibrating HW1F with swaption vol cube

Posted by Chris Derick on Jul 27, 2015; 6:09am
URL: http://quantlib.414.s1.nabble.com/Calibrating-HW1F-with-swaption-vol-cube-tp16744.html

Hi all,

Firstly I'm new to quantlib, hence do forgive my ignorance here and there.

Anyway I am following the example on "gaussian1dmodel". I have noticed that the swaption volatility structure is instantiated by "ConstantSwaptionVolatility". I have checked in quantlib's Inheritance diagram and notice that there's only "ConstatnSwaptionVolatility" under "SwaptionVolatilityStructure".

Does this basically means that I could not calibrate HW1F with a swaption cube yet? What about term structure alone?

Thanks for clearing my doubt in advance.