Login  Register

Re: swaption surface

Posted by Ioan F. on Dec 09, 2015; 3:01pm
URL: http://quantlib.414.s1.nabble.com/swaption-surface-tp16362p17159.html

Hello Peter,

It's quite nice to have shifted lognormal cubes (and thanks for all your great work, btw), but having normal swaption cubes will be even better (IMO).
Bloomberg users, for example, if interested in CHF ATM swaption vols for "short" maturities and "short" tenors, could only get the Normal vols, as the there are no Black vols (for good reasons obviously) or shifted lognormal vols available.
If required, I could try and help with the effort.

Thanks,
Ioan