Re: Swaption Volatility...

Posted by Luigi Ballabio-4 on Mar 12, 2002; 12:12am
URL: http://quantlib.414.s1.nabble.com/Swaption-Volatility-tp1889p1891.html

At 07:48 PM 3/11/02 +0000, Toyin Akin wrote:
>Do you guys plan to model the whole Swaption Cube? (Exercise, Underlying
>and Strike).
>Or are you guys looking to model the smile in some sort of way?
>
>It seems like your current implementation handles only ATM Swaptions.

As a matter of fact, it does.
I don't think we'll go and try to model the smile for the time being. But I
think I'll put a hook there so that we can add the smile eventually
("eventually" seems to be a recurrent word in my replies lately, doesn't it?)

Bye,
         Luigi