smile for cap/floor and swaption vols

Posted by Michael Dirkmann on
URL: http://quantlib.414.s1.nabble.com/smile-for-cap-floor-and-swaption-vols-tp3061.html

Hi,

there was a thread in December 2002 about handling swaption vols with smile.
As far as I see the functions for retrieving vols have been adapted but no
implementation of the volatility cube (or volatility matrix in the cap/floor
case) has been performed. Did anyone do some work on this? If not I will do
so next weekend.

Regards

  Michael