Re: swaption surface

Posted by Peter Caspers-4 on Dec 09, 2015; 6:54pm
URL: http://quantlib.414.s1.nabble.com/swaption-surface-tp16362p17162.html

Hello Ioan,

it is done already, see

https://github.com/lballabio/quantlib/pull/264

but not yet part of an official release.

Thank you
Peter


On 9 December 2015 at 16:01, Ioan F. <[hidden email]> wrote:

> 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
>
>
>
>
> --
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