Posted by
Toyin Akin-3 on
Mar 12, 2002; 12:17pm
URL: http://quantlib.414.s1.nabble.com/Swaption-Volatility-tp1889p1892.html
Hey guys,
When you say "As a matter of fact, it does", do you mean that it does handle
Strikes, underlying, option mat, or it does handle ATM vols only. If the
former, I would have thought that you needed
a cube to represent your data and an interpolation scheme to handle this.
In addition, even though your class is called SwaptionVolatilityMatrix, it
can easily handle
cap/floor vols (or should that be caplet and floorlet vols), Basically
underlyings less than one year.
Your class does not seem to hold any strike info at all.
I think it would be a shame if the strikes were omitted as a user can just
construct your new
vol object and then promtly forget about handling/generating them when
pricing vanilla options.
A simple volatility() call would make my life sweet. In the current scheme,
I would have to
acquire the ATM vol and then adjust it on the outside. Painful!!
Then again, I could have read the code wrong and thus I'm talking complete
garbage...
Could you do us a favour though (I'm on my knees), how about one example on
using any
of the term structure models along with calibration. I'm sure Sad must have
at least some sort of
rough test harness for this stuff. I'm itching to get my hands on it, but
too lazy to work it out.
Then again, I know you guys work for a living and thus may not have time.
Then again Saturday is a possibility...!!
By the way, full marks of the PDE stuff.
Eventually (my favorite word too!) your term structure models should be
applied to this stuff too.
Toy.
----- Original Message -----
From: "Luigi Ballabio" <
[hidden email]>
To: "Toyin Akin" <
[hidden email]>;
<
[hidden email]>
Sent: Tuesday, March 12, 2002 9:29 AM
Subject: Re: [Quantlib-users] Swaption Volatility...
> 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
>